Banka CREDITAS a.s.
Českomoravská stavební spořitelna, a.s.
Českomoravská záruční a rozvojová banka, a.s.
Home Credit International a.s
Investiční kapitálová společnost KB, a.s.
PPF banka a.s.
Prima banka Slovensko, a.s.
RSJ Private Equity uzavřený investiční fond, a.s.
Slovenská záručná a rozvojová banka, a.s.
STEINER & MAKOVEC s.r.o.
"As part of the cooperation described above, ARM demonstrated relevant expertise and expected customer support," Director of Market Risk Management
Expobank CZ a.s., Tool for calculation of economic capital for credit risk, 2019
ARM created for Expobank CZ a.s. a tool for calculating risk-weighted assets (RWA) and economic capital within the ICAAP for credit risk. The tool unables calculating RWA of corporate clients.
The created tool also included a set of stress scenarios that might affect the amount of Expobank CZ's economic capital. The scenarios were based on various economic and structural changes and took into account both the development of the portfolio volume and the change in the risk parameters of individual sub-segments. Expobank received from ARM predefined stress values, which can be further expertly adjusted and thus used for stress testing in the future. ARM has included the so-called planning scenario among the stress scenarios, enabling to set all inputs into the RWA calculation, including regulatory parameters.
The outputs of the tool included, in addition to a detailed analysis of the current state of the portfolio and the impacts of stress scenarios, a sensitivity analysis of computational parameters, which allows analysing the impacts of changes in risk parameters on the size of RWA and economic capital.
"We were satisfied with the realisation of the contract indeed. ARM fully met our expectations. The project was well organized and our assignment was supplemented by functional and useful features of the tool, which is also user friendly and allows to set and analyse the impact of stress scenarios." Martin Kubíček, CRO
The software enables the Bank to analyze in detail the effects of stress scenarios. In the software the Bank assesses the impacts resulting from both its own and regulatory defined interest rate scenarios. The software allows to define both parallel (e.g. ± 1 bps, ±200 bps), and non-parallel shifts in the yield curves, making the Bank ready to respond more flexibly to market changes.
Using CADCalc® Market, the Bank also takes into account the behavioural characteristics of credit and deposit products. In this way, the Bank also uses the software to model the expected course of repayment of granted loans, which affects the size of net interest income. For this purpose, the Bank uses repayment calendars based on the behavioural rating - the software then takes into account prepayment, cash flow delay or default when calculating net interest income and when determining the economic value of individual positions based on the parameters entered.
In addition, the Bank uses CADCalc® Market software for FX risk management and liquidity management. The software allows the Bank to perform both of these calculations for current portfolio, thus enabling to actively manage the Bank's currency and liquidity position.
The comprehensive CADCalc® Market software delivery also included training of users in the field of software operation, algorithms and calculations, as well as in the interpretation of software outputs.
"We were very satisfied with the ARM´s work. All the functions included in the software are fully compliant with our requirements as well with the regulatory requirements for interest rate risk management of the banking book. We consider ARM´s know-how as a great advantage." Miroslav Morháč, Director of Risk Management Section.
ARM successfully delivered and implemented software CADCalc® Market at RSJ Private Equity uzavřený investiční fond, a.s. The fund uses the software for management of its investment portfolio. The software serves primarily as a tool for managing individual projects, monitoring their liquidity and the liquidity of the investment fund as a whole. Software also enables recording of provided loans or drawn loans by the fund, their gradual use and repayment, including consideration of any agreed changes of loan conditions over the life of the loan.
The Advanced Risk Management Company created and implemented for the TONA a.s. Company software enabling the following: import of accounting data, calculation of percentage overheads per direct wage unit for individual production dimensions (production dimension = product and its production operation), sums of expenses according to their specification, plan formulation, comparison of plans with reality, simulation of expense level based on anticipated volumes of production, comparison of simulation with reality.
The investment capital company KB, a.s. uses software for measuring risks of individual unit trusts which are administrated by KB. The software covers a wide range of investment instruments such as shares, bonds, time deposits, bills and derivates used by the company. This enabled analysis of the impact of considered investments on their risk profile. Software facilitates risk analysis for both internal and external purposes. For example: to clients and state regulators.
Českomoravská záruční a rozvojová banka, a.s. implemented CADCal®Credit software for the purpose of calculating the capital requirement by the standard approach according to Basel II. Apart from software implementation, the Advanced Risk Management Company also provided staff training.
Prima banka Slovensko, a.s. implemented our software CADCalc® Market, which the bank uses for the calculation of market risk through VaR method. The advantage of the software is from the point of view of the bank mainly the method of work with market factors (it is possible to use the rates MID, BID and OFFER), automated import, speed and simplicity of the calculations. The Bank considers the software as very flexible and suitable for use in a financial institution of its type.
The subject of our cooperation was to assess a software structure which the Českomoravská stavební spořitelna Company created for financial risk management purposes.
Home | About us | Products and services | Consulting | System development | Audit | Credit risk | Operational risk | Market risk | Liquidity risk | Seminars | Software | CADCalc Market | CADCalc Credit | Scorecards | TIMo | Functional specification | Customized financial software | References | Access to personal data | Contact |