Risk and Compliance
Tezauri Risk is a suite of Risk Management solutions which helps banks not only fulfill compliance requirements but also achieve a strategic advantage through the improvement of risk management processes and the ability of making high quality business decisions. All risk categories are covered: credit risk, market risk, and operational risk.
- Regulatory compliance risk reports
- Basel II calculation engine
- Loan loss provision calculation engine
- Operational risk event tracking and management
- Compliance with Basel II requirements
- Compliance with IAS/IFRS requirements
- Compliance with local risk management reporting regulations
- Improving the control and automation of risk management processes
Programming languages and main frameworks
- Microsoft .Net (C#), Windows Workflow Foundation, Windows Communication Foundation, ADO .Net Entity Framework
- Windows desktop application
- Microsoft SQL Server Reporting Services
- Microsoft Office
- WCF services deployed at Microsoft IIS
- Microsoft SQL Server
- Microsoft SQL Server Integration Services
Basel II solution enables banks to turn their compliance with Basel II requirements into a strategic advantage through improvement of risk management processes, assets management and ability of making high quality business decisions.
Our Basel II Solution ensures that banks achieve compliance with Basel II requirements by producing the necessary calculations and reports as specified by the Basel II Accord.
Tezauri Basel II is an integrated and unique solution that combines risk weighted asset (RWA) and credit risk mitigation (CRM) calculations with audit trails, data modelling, data storage and regulatory reporting.
Parametrization, calaculation and validation processes for different types of risk are provided.
In accordance with Basel II 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 - Maturity and Duration Method, Equity Standardized Approach, Foreign Exchange Risk Standardized Approach, Simplified Approach and Maturity Ladder Approach (Commodity Risk).
Solution also covers Decision on Risk Management by Banks:
- Interest rate risk in banking book
- Market Risk Functionalities.
Banks can easily identify, define, follow up and report about credit risk, market risk and operational risk.
Solution is highly customizable and flexible regarding international Basel II regulatory 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.
Basel II Reporting - from our Basel II solution banks can produce Basel II reports and send them directly to their Central Bank in prescribed format.
- External and internal reporting
- Xml creation, electronic signature and the act of sending reports to regulatory authorities
- Excel format reporting
- on a given day.
The Basel II 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 II calculations to be performed against different (edited) input data and business and technical parameters, with comparative analytics available in every moment.
Basel II 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 II 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.)
The parameterization of balance items, off-balance items and techniques for credit risk mitigation, provides full flexibility of Tezauri™ Basel II application in compliance with legal regulations changes.
Parameters and calculations have so far been adjusted in accordance with Basel II regulations of:
- National Bank of Serbia
- Croatian National Bank
- National Bank of the Republic of Macedonia.
Our solution is highly customizable and flexible regarding international Basel II 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
Provision Calculation Application
Provision Calculation Application (PCA) is a powerful solution that enables banks to implement different methodologies for the assessment of balance sheet asset impairment and probable losses on off-balance sheet items in accordance with local Central Bank regulations on asset classification or determined by the bank in line with IAS/IFRS.
PCA solution ensures that Risk managers easily apply bank’s policies and procedures for identifying, measuring, assessing and managing credit risk.
PCA includes two main processes:
- Risk Classification Process provides internal grades for all types of exposures
- Impairment Calculation Process provides final impairment and provision amounts for all on-balance and off-balance exposures.
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.
Variety of free form reports are provided as well, due to numerous data filters.
PCA solution provides Business users with numerous benefits:
- International and local Regulations Compliance
- Fully automated data processing
- Manual corrections of grades, procedures, parameterization, cash flow changes
- Advanced result analysis.
PCA solution can easily adopt new methodology, internal procedure change or legislative change.
PCA enables authorized business users to: Parameterize – Configure – Monitor – Control – Report
PCA Process Overview
Tezauri™ Provision Calculation Application process consists of the following:
- Import of data from CORE and other systems through standardized interface
- Days of delay calculation on individual arrangement (optional)
- Credit exposure calculation on individual arrangement (optional)
- Internal Rating of Clients based on score cards (integrations with Scoring solution)
- Related party rating calculations
- Calculation of provision for collectively assessed arrangements where whole set of arrangements is impaired with same percent of provision
- Calculation of provision for individually assessed arrangements taking into account a large number of different factors when calculating final percent of provision, including factors for the discounted future cash flows and discount of collateral)
- Manual corrections with possibility of recalculation if needed
- Publishing / Export of results – all results are available in standardized format on interface.
PCA & Scoring
PCA can be integrated with any scoring software solution that enables evaluation of scoring models.
For calculation of initial rating of each arrangement, PCA uses scores obtained from scoring solution such as Experience Scoring, Tezauri™ Scoring & Rating Solution or other tools.
Using scoring models that represent business policies adds additional value to business decision. Key support factor for bank’s Internal Rating System is the ability of scoring solution to support complex scoring models with over hundred criteria. Solution should be optimized for fast processing and massive scoring so that advanced portfolio analyses, internal rating and classification can be done quickly with rich and informative reporting.
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
- Multi-core technology
Implementation of our Solution is fast and deployment is based on Click once technology.
OpRisk Management Solution
OpRisk Management Solution is 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.
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 II,
- 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.
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.
For further possibilities of advanced analysis Risk Matrix - Self Assessment Solution module can be integrated in the OpRisk Solution user environment. Self-Assessment module is a powerful tool that helps auditors, management, and other users examine and assess business processes and control effectiveness within their organizations. With superior scenario analysis mode, solution provides rich, informative and comprehensive way of getting valuable information about risk. Full history of each Self-assessment Session is saved for later view and comparison.
Self-Assessment module speeds and simplifies the collection and analysis of Self-Assessment data. Although it is easy enough for internal auditors to set up, administer and analyze without requiring IT support, Self-Assessment data is functionally rich enough to provide a wide range of voting options and survey formats. Authorized users can view these results in form of Risk Matrix populated by Key OpRisk Indicators, create reports or feed the data into analysis tool.
Key features of Risk Matrix - Self Assessment Solution module are:
- Flexible Dynamic definition of Risk Matrix
- Interconnection with other system through Web Service
- Shared classifications and user/role database with TORS main module
- Wizard interface for Risk Matrix definition/edit
- Role based rights for users
- System monitoring and tracking
- Self-assessment session scheduling and notification
- Advanced analytics, per user, per business line pondering
- Multi matrix mode
- Easy to use electronic survey