Basel II Advanced Approaches Solution

 is an advanced implementation for Basel II and the basis for achieving full Enterprise Risk Management. comprises a comprehensive pre-defined and extensible ERM data model, a technical architecture for implementing Quadrant’s risk management solutions and an application suite for the collection, preparation, measurement and management of risk data providing an integrated risk management platform which gives a correlated view of the risk across the enterprise. provides risk factor modelling, enables capital adequacy calculations for credit, market and operational risk. It also delivers regulatory, quantitative, qualitative and ad hoc reporting.

Advanced ERM Solution Diagram

 includes support:

• Advanced approaches to Basel II – model templates are supplied for credit, market and operational risk
• Basel II calculations and results, including running supervisory formulae required under Pillar II 
• Capital calculations, including Economic Capital (K) and RoRAC 
• Analytical modelling/prediction – taking past behaviour and predicting the future
• Stress testing and scenario Analysis 
• Analytic model templates are supplied specific to the Credit Risk Application bundle based on asset class for credit risk. Analytical models for:
  • Probability of Default (PD)
  • Exposure at Default (EAD)
  • Loss Given Default (LGD)
  • Other credit scoring and scorecard models can be developed
  • Rating and risk rule building
• Analytic model templates supplied specific to the Operational Risk. Application bundles based on business line for operational risk.
• Uses stored operational risk events in data model to create frequency and severity distributions on the business line for specific loss types
• Uses Monte Carlo to create a total loss distribution
• For Market Risk VAR feeds and other model calculations supplied from existing systems to be used for advanced approaches and integrated into the analytical modelling component