Internal capital assessment

Having in mind diverse needs of our clients, we offer a baseline and an advanced methodology for assessing banks’ internal capital. Baseline methodology, which is incorporated into the ICAAP module of our flagship product, RiskGuard*, is based on Pillar 1 capital rules for credit, market and operational risk, but instead of using quantitative criteria prescribed by the regulator, it enables a bank to use quantitative criteria it deems appropriate for its specific risk profile. Such “stressing” of the quantitative criteria is a traditional, conservative approach to internal capital assessment, fully compliant with Pillar 2 of the Basel regulation. Advanced approach to internal capital assessment relies heavily on numerical simulations methods in order to quantify not only financial risks (credit, market, concentration, liquidity risk, etc.), but also other relevant inherent risks (operational, reputational, model risk, etc.) in order to allocate appropriate economic capital to cover those risks. Methodology includes, but is not limited to, computation of traditional risk measures such as VaR, tail risk measures (Expected Shortfall), alongside various stress tests and reverse stress tests.