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Comply with Basel III norms of standardised and IMA approaches for capital charge computation.
Automate the risk computation process for efficient risk management and regulatory compliance.
Pain Points
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1
Data Quality and Data Duplication.
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2
Less familiarity with the advanced VaR approaches.
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3
Dependency over the third-party vendor for the market price feed.
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4
Continuous changes in the reporting format of Internal reports generated by VaR approach.
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5
Time period and availability of subject matter experts during the GAP study.
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6
Multiple VaR terminals provided by third-party source which was like Blackbox as no computation framework share with the bank.
Solution Given
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1
Kalypto/V@R
Solution Highlights
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1
Comprehensive solution covering both SMM and IMA regulatory compliance.
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2
System offers VaR Engine covering VaR methodologies - VaR-CoVaR, Historical and Monte-Carlo simulation.
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3
Stress testing module to cater for Regulatory as well as bank-specific requirement.
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4
Limit Management Module helps in tracking key risk indicators and another parameter specific to Bank investment policy.
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5
Exhaustive reports like VaR based dashboards and MIS reports.
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6
Audit trail facility with workflow mechanism to ensure that there are adequate controls and internal policy adherence.
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7
Provided Data warehouse for a single source of data from the source system with enrichment and controls for data duplication avoidance thus enabling a seamless flow of data to the Risk computation engine and output.
Key Benefits
Benefits of the Case Study to help you understand our Product and reach of Services in a more convenient way
Case Studies
Banking
Corporate
Infrastructure
