A Predictive Analytics Model with comprehensive early warning indicators from multiple data sources for identifying incipient sickness of borrower stress.
- Centralized credit monitoring system across the value chain providing 360 degree view of borrower accounts
- Web-based Early Warning System for Corporate and Retail portfolios
- Proactively identify problematic credit exposures
- Parameterized thresholds for identifying EWI breaches
- Connect and obtain latest data from diverse sources (both structured and un-structured), automatically loaded and transformed as a batch process
- EWI Indicators covered as per RBI circular for identification of Red Flagged Accounts and Special Mentioned Accounts
- Key Business benefits include improved asset quality, reduced provisions and better profitability.
Asymmetrix Capital Engine
The product calculates regulatory capital for credit risk, market risk and operational risk as per Basel II and Basel III capital guidelines. Integrated with General Ledger Reconciliation Module and Data Quality Module ensure data completeness and integrity.
- Calculation of Credit Risk regulatory capital requirement for the Standardized Approach, FIRB approach, AIRB approach as well as Mixed Approach
- Standardized Duration Approach is available for Market Risk
- Basic Indicator approach / Standardized Approach are available for Operational Risk
- Pre-configured with capital calculation logic for Basel II and Basel III guidelines
- Supports multiple algorithms for collateral allocation such as Pro-rata and Sequential Optimizer.
- Capital engine can be integrated with Stress testing module and Pillar-III reporting module to meet internal and regulatory requirements
- Integrated GL Module ensures data completeness by reconciling input data with the General Ledger to meet audit requirements
- Calculate capital requirement for consolidated as well as solo entity. And solution is flexible to handle all the approaches (Standard and Advanced) as prescribed by BASEL.
Model Validation Software
Asymmetrix Model validation software provides an independent review of the model in line with RBI Basel-II Internal Rating Based Approach requirements as well as BCBS Working Paper 14 viz. ‘Studies on the Validation of Internal Rating Systems’.
As per RBIs IRB guidelines “Banks must have a very robust validation methodology for the rating system/risk estimates. This validation process should be well documented. Operational integrity and consistency of rating system/risk estimates should be given due importance in the validation process.”
Estimating PD/LGD/CCF in line with IRB guidelines and validate the performance of the Bank’s internal models (borrower rating system, facility rating system, retail scorecards etc.) using multiple validation tests.
PD Estimation and Validation: Estimate PD using cohort and hazard rate approach
- Validate Rank-ordering capability of Rating System
- Validate PD calibration for IRB capital calculation
LGD and EAD Estimation and Validation: Estimate Workout LGD and CCF for defaulted exposures
- Validate discriminatory power and calibration of IRB LGD and EAD models
- External validation exercise helped Bank’s in identifying model deficiencies, improve model documentation quality and improve model review process
- Performance validation at individual factor level helped FI in identifying rating adjustments and factors that are not contributing to model performance
- Assisted the Bank in achieving Basel II IRB and Risk-based Supervision compliance
- Assisted the Bank in refining MRM policy by setting up performance thresholds for various models
- Assisted the FI in achieving compliance with regulatory requirements
Asymmetrix Risk Dashboards & Regulatory Reporting
The Risk Dashboard and Regulatory Reporting solution facilitates automatic report generation as per regulatory requirements, ensuring timeliness, auditability and accuracy of reported data.
- Powerful ETL allows data extraction from multiple source systems including core banking, treasury solution, capital engine, payment and settlement systems, rating system, excel files etc.
- Drill-down feature allows users to move from consolidated data to underlying data for ease of review and root-cause analysis.
- Solution allows detailed trend and output variance analysis, as historical reports and data are stored in the solution
- Software facilitates ease of report modification from the front-end due to changes in regulatory requirements
- Predefined rules for functional and technical data validation are supported. GL reconciliation is supported to ensure data completeness.
Asymmetrix Ops Risk & ALM
- RCSA, KRA & LDC Modules
- Policy Management for workflow based approval and change management
- Integrated Dashboard
- Liquidity gap reports & ratios
- Basel III reports
- Interest Rate Sensitivity Reports, Duration Reports
- Scenario Analysis