Chief Risk Officer AI

Invoked when: RAF review cycle opens OR macro environment shifts materially

• –Reads the current Risk Appetite Framework (RAF) document and portfolio MIS, then identifies where actual exposures sit relative to stated limits — by sector, product, geography, and borrower segment.
• –Synthesises macro signals (ECB rate stance, credit growth data, Banking sector stress indicators) and narrates what they imply for the institution's risk tolerance in the next 12 months.
• –Drafts revised RAF language — appetite statements, tolerance bands, and limit schedules — calibrated to the board's stated risk philosophy and current capital position.
• –Flags internal contradictions in the existing RAF: where a limit is structurally impossible to hit, or where two clauses conflict under stress.

Invoked when: monthly ECB Governing Council decision / EBA publication / macro data release

• –Reads injected macro data — ECB Governing Council decisions, CPI, Eurostat industrial output, bank credit growth, NPL ratios (EBA data), EU VAT collections / retail data — and narrates the credit cycle implication for the institution's portfolio mix.
• –Identifies which sectors, products, or borrower segments in the portfolio are most exposed to the macro shift, and quantifies the exposure by reading the portfolio MIS passed to it.
• –Does not access live data autonomously. Reads whatever structured data files are injected at invocation — the risk team controls what the agent sees.
• –Produces a ranked "watch list" of portfolio segments whose risk profile has worsened relative to the last reading, with the macro evidence behind each flag.

Invoked when: ECB / EBA stress test requirement / internal ICAAP / SREP cycle / board request

• –Takes stress scenario parameters defined by the risk team (e.g., 200 bps rate shock, 15% NPL migration in SME, 20% haircut on collateral values) and applies them across the portfolio data injected into context.
• –Estimates the P&L and capital impact of each scenario in plain language — it reasons over the data rather than running a statistical model. Returns ranges, not point estimates.
• –Drafts the stress test narrative section of the ICAAP / SREP submission or board pack: scenario rationale, assumptions, results, management responses, and capital adequacy conclusion.
• –Flags where the stress results breach RAF thresholds and what management action the RAF requires in response.

Invoked when: board pack preparation window opens

• –Synthesises the portfolio MIS, macro brief, stress outputs, and capital position into a board-format risk report — structured to the bank's standard template injected at invocation.
• –Writes in board-appropriate language: declarative, jargon-minimal, with clear "so what" statements. Not a data dump — a narrative with data support.
• –Generates the risk committee dashboard: key risk indicators (KRIs), RAG status against RAF limits, material changes since last board, and management actions in progress.
• –Can answer specific board questions in natural language — "What is our concentration in real estate above €10M?" — by reasoning over the data passed to it.

Invoked when: ECB JST inspection query / ECB supervisory letter / ad-hoc regulator request

• –Reads the regulator's query or inspection observation and maps it to the relevant ECB guide / EBA guideline, EBA NPL classification standards, or CRD V proportionality framework — citing the exact guideline and clause.
• –Drafts a structured response: acknowledgement of the observation, the institution's current position, corrective actions taken or planned, and the timeline for compliance.
• –Cross-references the institution's data (injected into context) against what the regulator is asking about — identifies any gap between what the regulator expects and what the data shows.
• –Does not sign or submit responses. Produces a draft for review, editing, and formal sign-off by the CRO and Compliance team.