Smart About Risk
 

CADCalc® Credit

Regulatory requirements on risk management in banks stipulates calculation approaches to regulatory capital requirement for credit risk. These requirements have the basis in documents and standards published by BCBS (Basel II/III and related documents), which have recommendatory character. The BCBS documents serves as a basis for directive (CRD) and regulation (CRR) of European Union, dealing with this issue. This legislation is binding for the Czech Republic as an EU Member State and it is incorporated into the Czech legal system by the Decree of CNB on the performance of the activities of banks, credit unions and investment firms. Accordingly, there is a need for a software solution to calculate the capital requirement for credit risk. The solution is the software CADCalc® Credit.

What is the purpose of CADCalc® Credit?

Calculations according to Pillar 1 (capital requirement – ‘CR’)

  • CR calculation of credit risk, credit portfolios and other activities according to the standardized approach (STA) and/or internal model (IRB and AIRB).
  • CR calculation for sub-portfolios or individual assets defined by a user.
  • Comparison of CR with current amount of equity.
  • Calculation of expected loss.
  • Portfolio analysis with respect to its risk level and the amount of necessary capital.
  • Calculation of Credit Risk Mitigation (CRM) and impact on the final amount of CR.
  • Impact of stress scenarios on the amount of CR for different sub-portfolios.
  • Monitoring portfolio risk concentration.
  • Testing developed internal models and impact of their possible application on determination of CR.
  • Check on the correctness of input data and highlighting of possible errors.
  • Creation of related reporting.

Calculations according to Pillar 2 (economic capital – ‘EC’)

  • Calculation of EC for credit risk based on the generalized IRB model.
  • Setting the required level of reliability for EC calculation.
  • Impact of stress scenarios on the amount of EC for different sub-portfolios.
  • Creation of related reporting.

Advantages

  • Very fast implementation.
  • Possibility to easily change calculation input parameters and subsequently analyze the impact on the amount of capital requirement.
  • Support of multiple input data formats.
  • Input data check.
  • Controlled access to the application.
  • High speed (can process thousands of exposures in a matter of seconds).
  • User friendly.

Who it is for

CADCalc® Credit is an instrument suitable for calculating, testing or verifying of the amount of capital requirement for regulated credit institutions which are subject to the Basel II requirements for credit risk management.

It is particularly intended for:
  • risk management specialists,
  • internal and external audit,
  • central banks.

CADCalc® Credit presentation

Should you have any questions or would like more information, please do not hesitate to contact us to organize a demonstration of CADCalc® Credit’s functionalities.