Regulatory Credit Risk Capital Calculator

RiskValue manages all entities which are relevant to Banking or other financial institution subject to Basel III regulation. These entities include Obligors, Risk Ratings, Collateral, and exposures of all types. In addition, the regulatory credit module offers risk weighting of all assets, optimization of collateral usage, derivation of capital requirements, and production of Pillar 1 & 3 reports using the standardized or the Internal Ratings Based (IRB) approaches, or a combination of these. Multiple parametrization sets may be defined, allowing accommodating banking groups operating in different jurisdictions, as well as application of stress/what-if-scenarios.

Main Features

  • Incorporates regulation detailed in the Basel committee recommendations, the relevant EU Directive and the consultation papers of the Committee of European Banking Supervisors (CEBS) and Local authorities
  • Estimates capital usage per exposure under national regulatory guidelines taking under account the type of exposure, credit risk mitigation techniques, collateral eligibility requirements, and exceptions
  • Optimizes collateral allocation in order to minimize capital usage
  • Easy application of what-if scenarios to measure the effects of different strategies in the regulatory capital
  • Supports both standardized and Internal Ratings Based (IRB) approaches 
  • Parallel run of more than one Basel III approach (for example both the Standardized and the IRB methods) allowing the financial institution to choose the optimal timing for migrating to the new approach
  • Automatic collection of all exposures, collaterals, obligor characteristics via interfacing with core banking systems
  • As a highly parametric tool, accommodates all options available to different jurisdictions as well as potential future amendments
  • Allows easy understanding and control of capital requirements, thanks to a straightforward presentation and a drill-down analysis of all intermediary calculation step
  • Credit Risk Reporting according to Common Reporting Standards (COREP)
  • Support for multiple jurisdictions with different national regulatory guidelines