With upcoming Basel IV framework capital calculations across all risk types will be fundamentally amended.
Kamakura’s seasoned experts can support banks across EMEA with extensive experience gained on numerous implementations. We recommend holistic project approach, split into modules in order to adequately meet the thematic linkages, as well as identifying and managing the strategic impacts.
Kamakura’s solution tackles numerous issues the new framework is posing, among others the redesigned standardized approach credit risk, amended IRB approach, capturing EAD for revised CCR, quantification of CVA risks and finally the overhauled market risk guidelines collected under new FRTB framework. Putting focus on credit risk, the upcoming challenges will consider namely:
- Risk-driven approach for real estate loans with LtV as the major risk driver
- Constraints on using internal models along with strengthened link between standardized and internal model-based approaches for credit risk to allow for meaningful (and mandatory) capital floors,
- Decreased national discretions to foster comparability of capital requirements,
- More granular approach with external ratings used for exposures to banks, corporates and Specialized Lending,
- Overhauled securitization treatment with three approaches to reduce reliance on external ratings
Kamakura advantage for RWA
- Covers Standardized, Foundation IRB and Advanced IRB approaches.
- Supports processing of Basel II and III RWA concurrently.
- Risk weights and final ratings generated can be used as input for LCR and NSFR reporting.
- Sharing the same data assumption with ALM, FTP, IRRBB, LCR/NSFR and all other modules within KRM.
- Ability to forecast RWA for future time bucket.
- Forecasted RWA is sharing the same business assumptions, such as customer behaviour assumptions (prepayment/rollover) or business plan (new business assumptions) with ALM.
- The ability to share stress testing between RWA with all other modules within KRM.
- RWA Regulatory report line item can be traced line-by-line back to result generated by KRM for ease of reconciliation and regulatory audit.
- Support multiple jurisdictions.
- Support sandbox environment for ad-hoc scenario analysis.