There are warehouses that aggregate data for Basel II; there
are reporting packages with simple risk weighted asset rule logic; and there are stand alone
solutions that address the individual components of Pillar 1 (market, credit, operational).
Fiserv IPS-Sendero, however, provides the only truly integrated enterprise-wide risk management
solution that will meet your Pillar 1 and Pillar 2 Basel II compliance needs while enhancing
your risk management process at the same time.
IPS-Sendero KRM fully integrates ALM, market risk, credit risk, liquidity risk, Basel II
and IAS 39 in a single piece of software, supported by a single database.
The requirements of any or multiple regulators are easily supported. The solution makes extensive
use of parameter tables and parameterised conditions so that it is a simple “click-and-point”
to adapt to specific national discretion.
Key features of IPS-Sendero KRM for Basel II include:
- Three standard VAR methodologies (Matrix, Historical, Monte Carlo) to support an Internal
Models approach to Market Risk;
- Pillar 1 compliance with all three credit risk approaches (standardised, foundation IRB,
advanced IRB);
- Simple or comprehensive approach to collateral;
- Integrated Pillar 2 stress and scenario testing;
- Pillar 2 banking book IRR;
- Determination of risk-weighted regulatory capital requirements and surplus
- Academically accepted, multiple methodologies, including structural and reduced form models
for default probabilities and other valuation models
For Internal Ratings Based methodologies, probabilities of default (PD) can be populated
from external sources or calculated within IPS-Sendero KRM. Integrated models are provided
to determine PD’s from implied market information for rated counterparties (risky bonds, credit
default swaps), and from logistic regression models to generate defaults for non-rated and
retail/SME customers.
For compliance with Pillar 2, IPS-Sendero KRM provides a robust stress and scenario testing
framework. Credit risk analysis is integrated with macro risk factors to enable through-the-cycle
analysis of underlying credit drivers. Credit VAR and credit-adjusted income simulation are
fully integrated across all customer and counterparty types.
Fiserv IPS-Sendero’s operational risk suite of solutions are Basel II compliant, supporting
risk assessment and regulatory capital determination under the Advanced Models
approach (AMA). |
