Risk-Weighted Capital Features

Risk-Weighted Capital has features that enable you to:

• Define risk weighting rules for ledger accounts, products, or treasury position balances.

• Define as many risk types as necessary, according to your business needs, for example credit risk, market risk, interest rate risk, deposit runoff risk.

• Calculate risk weighted capital and normalized loss using one of two options: apply a set of additive risk weights that can be applied based on user-defined criteria, or define one or more risk functions that can be used to calculate a capital or normalized loss amount.

• Specify risk weighted capital rules for income statement accounts, for example to cover legal risks.

• Calculate risk weights and regulatory capital output for asset classes defined in the Basel II accord for standard (simple and comprehensive), foundation IRB (internal ratings-based approach), and advanced IRB approaches.

• Process credit risk calculations at the overall facility, sub-facility levels and sub-sub-facility level.

• Create and apply portfolio risk functions to calculate a specialized form of risk weights for credit risk processing. The credit risk engine executes the functions as a final step in its processing, and can use these calculations to override the default risk weights.

• Calculate operational risk resulting from inadequate or failed internal processes, people and systems, or external events.

• Query online the results of the credit risk engine to assess Basel II regulatory compliance, and to analyze portfolio credit exposures.

• View online a matrix charting changes over time in instrument, facility or collateral attributes, so as to evaluate trends in selected data.

• Generate reports to review, audit, and validate your risk weighting rules.

• Calculate risk weighted capital and normalized losses for forecasted balances.

• Use effective dating for assumptions, which provides you with a history of assumptions to help you track rules, and make inquiries concerning results.

• Assign risk-weighted capital rules based on account tree nodes.

  For example, if the 'other assets' node included multiple ledger accounts, you could choose to apply an RWC rule to the tree node that represents all 'other assets', rather than to each ledger account individually.