Читать книгу Non-financial Risk Management in the Financial Industry - Группа авторов - Страница 112

Historical analysis run to determine the percentile to use for the Level 3 KRI thresholds should be complemented by peers’ benchmark analysis and backtesting. These activities may lead to the fine-tuning of the defined thresholds, with the aim of better capturing both market practices and the financial institution’s specificities.

A benchmark analysis among market peers on the selected KRI will determine the tolerances thresholds most widely in use. If the benchmark pool and the bank are comparable in size and business, the threshold for the selected KRI should be within this value range.

Backtesting should be performed to assess the relevance of selected thresholds in terms of frequency of incurrence. As an example, the analysis could highlight that, having set a specific threshold, over the past ten years too many breaches would have occurred. This could encourage the adjustment of the threshold so that the thresholds correctly identify the values which they are aimed at (e.g. extreme values).