ICAAP

RiskGuard* ICAAP Module provides the following software tools and methodologies for internal capital assessment:


Credit risk

  • Calculation of internal capital based on the modified Standardized Approach
  • Custom adjustments for corporate and retail exposures
  • Calculation of internal capital based on Monte Carlo simulations of potential losses, based on internal credit ratings and asset classes
  • Scenario analyses and stress tests
  • Reverse stress tests

Market risk

  • Calculation of internal capital based on the modified Standardized Approach
  • Calculation of internal capital based on historical and weighted historical simulation
  • Calculation of internal capital based on analytical method
  • Scenario analyses and stress tests
  • Reverse stress tests

Operational risk

  • Calculation of internal capital based on the modified Standardized Approach
  • Calculation of internal capital based on loss distribution approach
  • Automatization of exposure assessment by business lines based on balance sheet accounts
  • Scenario analyses and stress tests

Integrated market and credit risk

  • Assessment of default rate sensitivity to exchange rates
  • Calculation of internal capital for exposures with currency mismatch
  • Assessment of the influence of exchange rates on internal capital for credit risk
  • Assessment of internal capital based on Monte Carlo simulations of joint dynamics of credit and market risk factors
  • Scenario analyses and stress tests

Interest rate risk

  • Calculation of add-on capital for:
    • Basis risk
    • Repricing risk
    • Yield curve risk
  • Calculation of internal capital based on analytical method
  • Scenario analyses and stress tests
  • Reverse stress tests

Concentration risk

  • Calculation of internal capital based on user-defined limits for large exposures
  • Calculation of internal capital based on quantitative indicators of concentration
  • Scenario analyses and stress tests

Liquidity risk

  • Calculation of internal capital based on funding liquidity gaps
  • Custom corrections of cash flows for selected exposure types
  • Calculation of internal capital based on projected liquidity gaps
  • Scenario analyses and stress tests

Residual  risk

  • Assessment of the influence of collateral value on internal capital for credit risk

Country risk

  • Assessment of the influence of sovereign ratings on internal capital for credit risk

Strategic, reputational and legal risks

  • Empirical assessment of internal capital based on event studies

Diversification effects

  • Estimation of positive or negative diversification effects on internal capital

Internal capital projections

  • Assessment of internal capital levels several years ahead