Modern Data Governance in Risk Management

The arrival of the FRTB (Fundamental Review of the Trading Book) regulations for managing capital absorption arising from market risks created two different needs within Mediobanca: on the one hand, the introduction of a calculation system capable of defining the riskiness of individual trading transactions, their consequent capital absorption both on a stand-alone basis and according to a portfolio logic; on the other hand, the need to identify the transactions for which a higher capital requirement was needed and the consequent identification of the desks with the highest absorption, with the aim of taking actions to minimize this capital absorption, with the same return.