Sergio Federico Carrillo Farfan
Sergio Federico Carrillo FarfanSupportIndividual
Summary: Sergio Federico Carrillo Farfan, a financial risk management professional, supports the proposed ERBA framework as a pragmatic modernization of regulatory capital requirements. However, he argues that the proposal contains structural gaps regarding cross-border risk in the U.S.-Latin America corridor and recommends specific enhancements to account for FX mismatches, idiosyncratic market risks, and elevated BSA/AML model risks.
Please find attached my comment letter in response to the above-referenced Notice of Proposed Rulemaking. The letter identifies three structural gaps in the proposed ERBA framework related to cross-border risk dynamics in the U.S.-Latin America financial corridor: (1) standardized credit risk parameter failure for regulatory-driven FX mismatch exposures; (2) FRTB stress period inadequacy for idiosyncratic Latin American market risk; and (3) operational risk capital insensitivity to BSA/AML model risk in documented high-risk corridors. The full letter is submitted as an attachment.