Smart About Risk
 

CADCalc® Credit

Regulatory rules applicable to the area of risk management in banks determine the approaches to the calculation of regulatory capital requirement for the coverage of credit risk. These rules are contained in the document Basel II which is recommendatory and in EU Directives resulting from Basel II and addressing this topic. The Czech Republic which is a EU member is necessarily bound by this laws. According to new regulatory rules, banks adopted more sophisticated methods of the calculation of capital requirement for credit risk. The result of that is a need of a software solution for the calculation of capital requirement. 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.