Regulatory Capital Management
Main Features
The capital management module for investment funds cover the following functions:
- Calculation of minimum capital requirements for market, credit and operational risk based on complex regulatory rules (“Pillar 1”)
- Derivation of an Internal Capital Adequacy Assessment Process (ICAAP) which accounts for risks that are either underestimated or not captured under Pillar 1 while taking into account correlation and diversification among different risks (“Pillar 2”).
- Production of “Pillar 3” risk reports
Capital adequacy engine covers:
- Market risk capital calculation can be achieved using the standardized and internal models approaches that are both supported.
- For credit risk capital calculation, Systemic‘s offer contemplates both the standardized and Internal-Ratings Based (IRB) approaches.
- Economic capital calculation is based on various methodologies, including the “Asymptotic Single Risk Factor” (ASRF) approach, adjusted for concentrations in obligor groups and business sectors.
- Automatic generation of Pillar 3 reports
- Guidance and training for the implementation of all Pillar 1 calculations for market, credit and operational risk.
- Independent evaluation of the adequacy of any investment firm’s internal capital assessment process (ICAAP).