Tezauri Risk

Basel III solution enables banks to turn their compliance with Basel III requirements into a strategic advantage through improvement of risk management processes, assets management and ability of making high quality business decisions.

Basel III solution is a successful upgrade of the previously developed and implemented Basel II solution.

Basel III is an integrated and unique solution that combines risk weighted asset (RWA), credit risk mitigation (CRM) calculations, LCR calculation and CVA risk calculation with audit trails, data modelling, data storage and regulatory reporting.

Parametrization, calculation and validation data and processes for different types of risk are provided.

 In accordance with Basel III Decision on Capital Adequacy of Banks the following approaches are covered:

• Standardized Approach for Credit Risk, Simple CRM Method and Comprehensive CRM Method
• Basic Indicator Approach and Standardized Approach for Operational Risk
• Debt Securities Standardized Approach,
• Foreign Exchange Risk Standardized Approach,
• Liquidity risk
• CVA risk
• Regulatory capital calculation and Capital adequacy ratio calculation

 Reporting possibilities:

• Regulatory and internal reporting 
• Xml creation, electronic signature and the act of sending reports to regulatory authorities
• Excel format reporting

 Reporting period:

• Quarterly, 
• Monthly,
• on a given day. 

Basel III solution consists of administrative application and calculation engine in charge of all parameterization, calculation and validation processes. Administrative application provides a number of easy to use editors for parameterization process.  Editors are divided into editors for input data changes and editors for business and technical parameters. All editor options are grouped by different types of risk.  Administrative application is responsible for calculation cycle and iteration management as well as execution of import data process, review and verification of data quality. Iteration management provides unlimited number of Basel III calculations to be performed against different (edited) input data and business and technical parameters, with comparative analytics available in every moment.  

Basel III calculation engine is optimized for high performance calculation and is capable to sustain large volume of data. The calculation engine is in charge of validation of data necessary for calculations and for the following Basel III calculations:

• Calculations of regulatory capital
• Calculation of necessary items for calculation of capital requirement for credit risk (classifying into exposure classes, adjustment for effects of collaterals, assigning risk weights, etc.)  
• Calculation of necessary items for calculation of capital requirement for market risk (classifying into zones and maturity classes, adjusting classes and zones, defining net open positions, assigning risk weights, etc.) 
• Calculation of items required for operational risk (calculation of exposure indicators, capital requirements for operational risk, etc.) 
• Calculation of necessary items for calculation of Liquidity risk (calculation of  Liquidity buffer, Net liquidity outflows and Liquidity coverage ratio – LCR)
• Calculation of necessary items for calculation of CVA risk. 

The parameterization of balance items, off-balance items and techniques for credit risk mitigation, provides full flexibility of Tezauri™ Basel III application in compliance with legal regulations changes.

Parameters and calculations have so far been adjusted in accordance with Basel III regulations of:

• National Bank of Serbia
• Croatian National Bank
• National Bank of the Republic of Macedonia.
• Banking Agency of Republika Srpska
• Banking Agency of the Federation of Bosnia and Herzegovina

Our solution is highly customizable and flexible regarding international Basel III regulatory requirements.

Technical Specification of the Solution

The process of installation and upgrade is simple, and it is applied by Click Once technology.

The solution has been implemented by application of Microsoft SQL technology and .NET (C#).
 Server requirements for the solution installation:

• Microsoft® Windows Server® 2008 R2 Standard x64 Edition or newer
• Microsoft® SQL Server™ 2008/2012 Enterprise Edition - 64 bit version (database engine, SQL Server Integration Services and  SQL Server Reporting  Services)

 Working stations requirements for the solution installation:

• Windows 7 or newer
• Microsoft Office 2007 Basic Edition or newer

ICAAP

ICAAP is a powerful solution that enables banks to understand their risk profile and has systems in place to assess, quantify and monitor risk. In additional, banks can easily determine the economic capital required to cover all risks faced.

Functionality

ICAAP solution ensures that banks achieve compliance with regulatory and internal requirements by producing the necessary measurements, stress tests, calculations and regulatory and internal reporting.

Key Features

ICAAP solution enables banks to integrally identify, define, monitor and report data related to its material risks:

• Credit risk
• Residual risk
• Credit- foreign exchange risk
• Interest rate credit risk
• Concentration risk
• CVA risk
• Interest rate risk in the banking book
• Foreign exchange risk
• Liquidity risk
• Operational risk.
• Other risks.

Key Benefits

• Banks can easily identify, define, stress, follow up and report on material risks.
• The solution is highly customizable and flexible regarding regulatory and internal requirements.
• Audit Traceability - solution enables complete transparency and controllability of its processes providing users with history log of data, calculations, and parameterizations as required by internal audit, external auditors and Central Bank controls.
• ICAAP Reporting – ICAAP solution produces ICAAP regulatory and internal report.
• Business -oriented solution – business users are complete independent in the process of calculation and analysis.

ICAAP Process Overview

•  Measurement of all the risks that are material risks to the bank.
• Stress test - consider not only the existing risks faced but also the potential risks and future business strategies.
• Comparison of Pillar I capital requirements /Internal capital requirements without stress test effects / Internal capital requirements with stress test effects for materially significant risks.
• Defining and monitoring the limits of the capital requirement in relation to the available capital for each of the significant risks and monitoring the results of the calculation in relation to the defined limits.

Technical Specification of the Solution

The process of installation and upgrade is simple, and it is applied by Click Once technology.

The solution has been implemented by application of Microsoft SQL technology and .NET (C#).

 Server requirements for the solution installation:

•  Microsoft® Windows Server® 2008 R2 Standard x64 Edition or newer
• Microsoft® SQL Server™ 2008/2012 Enterprise Edition - 64 bit version (database engine, SQL Server Integration Services and  SQL Server Reporting  Services)

 Working stations requirements for the solution installation:

• Windows 7 or newer
• Microsoft Office 2007 Basic Edition or newer.

Provision Calculation Application (PCA) is a powerful credit risk management software solution that allows risk managers to easily implement policies and procedures to identify, measure and manage credit risk, ensuring that credit risk does not go beyond acceptable for the bank.

PCA solution classifies arrangements and calculates reserves for estimated losses in accordance with the Central Bank decision.

Functionality

PCA solution ensures that Risk managers easily apply bank’s policies and procedures for identifying, measuring, assessing and managing credit risk.

Key Features

• PCA is configurable solution, easy to use with a rich user-friendly interface.
• Configuration of every step of the process is possible for users with appropriate set of rights.
• All calculations are easy to change using various parameters for fine-tuning.
• PCA offers a rich set of predefined reports for data analysis

• Import of data from CORE/ DWH and other systems through standardized interface
• Days of delay calculation on individual arrangement (through DWH)
• Identification of arrangements to be classified
• Initial classification of arrangements into five categories
• Consolidation classified arrangements on the customer level
• Analysis of the acceptability of collateral available
• Collateral allocation, verifying that additional allocation conditions are met (through DWH)
• Calculation of reserves
• Manual corrections with possibility of recalculation if needed
• Publishing / Export of results – all results are available in standardized format on interface..

 Technical Specification of the Solution

• Windows Workflow Foundation
• Windows Communication Foundation
• Internet Information services
• Windows Server family 2003/2008/2008 R2/2012 OS
• ADO Entities
• .Net Framework 3.5 SP1
• SQL Server 2005/2008/2008 R2/2012 Enterprise
• SQL Server Integration Services
• MS Office
• X64
• Multi-core technology

Implementation of our Solution is fast and deployment is based on Click once technology.

OpRisk Management Solution is an operational risk management solution for the financial services industry. OpRisk provides enterprise-wide loss event tracking, reporting and action identification, enables assigning risk management responsibility and accountability to business lines, and helps identify key risk indicators and early warning signals.

Key Features

 Our OpRisk Solution provides banks with an operational risk management framework that enables functionalities, including:

• Internal loss event database reporting,
• Regulatory compliance features,
• Key risk indicator tracking,
• Issue management and sign-off capabilities.

 Database of relevant data for the operational risk management is designed in compliance with:

• Basel III,
• International best practices,
• Local regulations.

Data model is designed to collect, structure and provide all relevant data regarding operational risk (events, business lines, causes, loss amounts, recoveries, effects, responsible persons, etc).

Database provides keeping record of a wide range of data on events which represent or may represent operational risk. Data exchange with external database(s) is also allowed, due to the appropriated structure and design.

Reports can be exported to various formats (e.g. Excel) and easily analyzed individually by the users. All reports are illustrated with graphs.

Key Benefits

• Tezauri OpRisk solution's operational risk tracking, analytics and reporting capabilities will support you in capturing operational risk issues, controlling internal sign-off and measuring the economic impact of risks.
• Allocate bank's capital and funds to the business lines and products where actual and potential losses are better monitored and managed
• Implement proposed measures for risk avoiding, reducing or mitigating
• Analyze your potential OpRisk losses in order to avoid losses/ increase profits
• Introduce new policies, procedures and action plans for OpRisk management
• Avoid penalties from the regulators for not having appropriate reporting system
• Introduce enterprise-wide risk monitoring and control assessment

 Predefined reports are standardized for different users:

• Decision makers (Board of Directors, Executive Board, Audit Committee), 
• Risk Managers (Operational Risk Manager, Executive Risk Manager),
• Regulators (Local Central bank).

Tezauri Operational Risk Solution represents a complete solution for operational risk management. In addition to collecting data on the events which represent or may represent operational risk, the solution reduces operational risk in the very process of recording operational risk, by introducing the four– eye double principle, while the responsibility for recording operational risk is lowered to the organizational units themselves – where two persons are included in the process of entering data and adding additional classifications.

Our solution incorporates workflow which ensures the tracking of operational risk through entire process of an event, from creation, revelation and notification, via complex system of vertical verification according to hierarchy, to the final closing. In addition to tracking potential and real operational risk events, user is provided with measures for preventing the repetition of such events. Detailed reporting, both for the requirements of the National Bank of Serbia and internally for the needs of the Management Board and system monitoring.