ALMIS

Reporting & Managing Basis Risk

Thank you to everyone who attended our Reporting & Managing Basis Risk Webinar. This proved to be an important topic with 18 firms attending.

The FSA have introduced a new basis risk report. This report is helpful for the regulator as it gives trends and peer comparison.

One of the conclusions from the meeting was that the FSA Basis Risk Report is a rather crude measure and 59% of our delegates use their own custom in-house reports instead, with a further 18% developing in-house reports for basis risk.

Additional basis risk reporting and analysis techniques were discussed and are being deployed by ALMIS users, including static sensitivity, forward reports and fully dynamic sensitivity.

 

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