Solutions

Basel III

PrevioRisk Basel III module helps you meet the most demanding aspects and interpretations of new regulatory requirements introduced in Third Basel Accord, allowing to save time, effort and costs while ensuring that your reports pertain to the format required by regulators and senior management.

  • Enhance your processes in line with regulatory guidelines: PrevioRisk is able to perform all required calculations, match higher data requirements, and be faster. Automation and standardization of the processes reduces time and effort needed to estimate risk exposure, validate the results and consolidate them into actionable reports for grounded decision-making.
  • Gain full understanding of your risks, based on approaches proposed by Basel III:
    • Calculate the additional CVA capital charge for OTC positions, as required by Basel III: PrevioRisk helps you to measure Unilateral CVA and Bilateral CVA/DVA for this purpose.
    • Use a comprehensive range of stress-testing tools: PrevioRisk provides a scenario generator, selection of product pricing mechanisms, a mechanism to age trades, and ways to aggregate MTMs for each scenario. In addition, it enables you to model collateral and to perform statistical analysis of your portfolio.
    • Perform integrated risk analysis along any business dimension, answering the regulatory call for improved transparency: PrevioRisk Dashboards allow slicing and dicing your risk exposure, using convenient user-friendly interface.
  • Take advantage of efficient and accurate reporting tools: PrevioRisk offers a choice of standard and customized reports, which can be scheduled to run automatically, in order to minimize time and effort needed to comply with regulatory required reporting volume and frequency.

 

Basel III Requirements to CCR Covered by PrevioRisk
1 Stressed EEPE Reports
2 Back Testing Models
3 Measuring Wrong Way Risk
4 CVA Capital Charge
5 Independent Review of CCR
6 Counterparty Risk Factors
7 Internal Ratings
8 Stressed PDs
9 Collateral Reporting