Basel II, Basel II+ (Extensions and Revisions), Basel III

We provide a complete coverage of Basel II/III Regulatory Reporting Guidelines (Internal and Advanced Approaches)

Future-proofing working

Recent introduction of extensions and revisions to the Basel II framework (Internal Models Approaches) especially on trading book issues, treatment of counterparty risks and securitization and general market risk have all been addressed in the R/V Platform. Similarly, the development of the new Basel III Regulatory Guidelines are being closely followed and implemented step by step in the system as soon as the individual steps reach their final forms and become binding for the reporting institutions.

Basel II

  • All key internal/ advanced approaches supported
  • Market risk
    • Internal models approach supported
  • Credit risk
    • Foundation Internal Ratings Based Approach supported
    • Advanced¬† Internal Ratings Based Approach supported
    • Alpha Testing approach for derivatives involving counterparty risk supported
    • Full Monte Carlo Simulation valuation approach for credit derivatives supported
    • CVA approach supported
  • Operational risk
    • Internal Measurement Approach supported

Basel II+

  • Extensions and Revisions to the Basel II market risk framework
    • Inclusion of Stressed Value-at-Risk statistic supported (capital requirement is sum of modified actual VaR and modified stressed VaR)
    • Incremental Risk Charge in the trading book supported (capital requirement is the 99.9% probability level loss over 12 month period on movements of both market and default risk factors)
  • Fundamental Review of the Trading Book (Issued for comment by 7 September 2012)
    • Proposed move to the use of Expected Shortfall measures for 12 months time horizon instead of the VaR measures for 10 business days is fully supported in the R/V Platform for any time horizon and any confidence level (R/V Platform uses the name Conditional VaR for the measure)

Basel III

  • Reporting of the Leverage Ratio supported
  • Reporting of the Liquidity Coverage Ratio supported
  • Reporting of the possibly forthcoming Net Stable Funding ratio supported
  • CVA (Credit Valuation Adjustment procedure) supported
  • Analyses of Capital Conservation Buffer and Countercyclical Capital Buffer supported
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