In the context of Financial Risk Management services, KPMG offers a comprehensive software solution for the calculation of Basel II Risk Weighted Assets and Capital Requirements. The system comprises the following modules:
- Credit Risk (Standardized and IRB Approach)
- Market Risk (FX, Interest, Equity, Commodity, etc.)
- Operational Risk (Basic Indicator and Standardized Approach)
The main features of the system are:
- Multi-jurisdictional to support home and host discretions for the production of solo and consolidated results and reports
- Eliminations management for inter-group commitments, guarantees, and collaterals
- Fully optimized collateral allocation algorithm for the calculation of Risk Weighted Assets (RWA) and Capital Requirements
- Web enabled interface for the management of system parameters, loading operations, adjustments, and reporting
- Integrated Risk Data Mart with drill down functionality for the analysis of the RWA and Capital Requirements arising from the credit or market operations
- Multilingual support
- Production of reports in XBRL format
The system is compliant with the Basel II European Directive (Capital Requirements Directive) and fully parametrical to meet local discretions, as well as the internal risk management processes of a financial institution or group of financial institutions.
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