Research Update - A common metric for non-financial risks

In conjunction with the Durham University Business School, we are testing the inherent predictiveness of the RU… a common, additive metric designed to express all forms of non-financial risk (NFR). For more information on the RU, click here.

Our test involves restating publicly available bank holding company financial (GAAP) data into Inherent RUs (IRUs) and examining the correlations between trended IRUs and net income before tax (NIBT). Positively correlated upward trends in IRUs and related material unexpected losses would indicate the RU possesses inherently predictive properties.

Our test covered the period leading up to and immediately following the global financial crisis of 2007/8.

We have reproduced below NFR Analyses in Tableau for 15 sample US banks:

  • Bank of America
  • BB&T Corporation
  • Capital One Financial Services
  • Citigroup
  • Fifth Third Bancorp
  • Huntington Bancshares
  • JPMorgan Chase
  • Keycorp
  • M&T Bank Corporation
  • Northern Trust Corporation
  • PNC Financial Services
  • Regions Financial Corporation
  • State Street Corporation
  • Suntrust Banks
  • Wells Fargo & Co

We welcome your review and feedback. Please email research@rasb.org with your thoughts and suggestions.

Note: Before accessing the NFR Analyses, please read the disclaimer below.

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Important Notes

  • If your bank is regulated in the US but is not included in the above sample and you would like to receive an NFR Analysis, please contact us.
  • If your bank is not regulated in the USA but you would like to discuss how an NFR Analysis could be produced for your bank, please contact us.
  • The NFR Analysis only reports inherent NFR (Inherent RUs). For information on how to calculate residual NFR (Residual RUs) for your bank please contact us.
  • The analysis is produced from bank holding company call-report (US GAAP) data (FR Y-9C)made publicly available by the Federal Reserve Bank of Chicago. Click here for more information.
  • For notes on how an NFR Analysis test data file was prepared from the FR Y-9C dataset, find below a brief description of the process.
  • All users of the NFR Analysis must read the applicable disclaimer.

Future Plans

We are working on extending the NFR Analysis up to the present date as well as new reports focused on products and NFR types. If you are interested in accessing these reports when available, please contact us.

About RASB and Membership

To learn more about RASB, click here. For information on how to apply for membership of RASB and details of the benefits of becoming a member, click here.

Disclaimer

The information provided through the NFR Analysis discussed on this web page is produced from US bank holding company call-report (US GAAP) data made publicly available by the Federal Reserve Bank of Chicago. Accordingly, RASB cannot guarantee the accuracy or completeness of this data. Further, we used certain assumptions to compensate for the inability to validate, with the banks concerned, the risk factors used in the NFR/RU calculation engine (primarily Exposure Uncertainty Factors [EUFs] and Value Band Weightings – [VBWs]). Accordingly, RASB cautions users of the NFR Analysis that it constitutes indicative information only and RASB does not guarantee, and accepts no legal liability, for its accuracy, reliability, or completeness.