crspl.info@careedge.in
Category:
Consulting
Date:
10 March 2023
Implementation in NABARD – V@R

Client Profile

Client is an apex financial institution in India which has adopted Care Risk- V@R solution to achieve regulatory compliance and improve their risk management & regulatory reporting infrastructure.

Objective

Comply with Basel III norms of standardized approach and IMA approaches for capital charge computation.
Automate the risk computation process  for efficient risk management and regulatory compliance.

Problem Statements

Data Quality and Data Duplication.
Less familiarity with the advance VaR approaches.
Dependency over the third-party vendor for the market price feed.
Continuous changes in the reporting format of Internal reports generated by VaR approach.
Time period and availability of subject matter expert during the GAP study.
Multiple VaR terminals provided by third party source which was like Blackbox as no computation framework share with the bank.

Solutions

Comprehensive solution covering both SMM and IMA regulatory compliance.
System offers VaR Engine covering VaR methodologies: VaR-CoVaR, Historical & Monte-Carlo simulation.
Stress testing module to cater Regulatory as well as bank specific requirement.
Limit Management Module helps in tracking key risk indicators and other parameter specific to Bank investment policy.
Exhaustive reports like VaR base dashboards and MIS reports.
Audit trail facility with workflow mechanism to ensure that there are adequate controls and internal policy adherence.
Provided Data warehouse for a single source of data from source system with enrichment and controls for data duplication avoidance thus enabling a seamless flow of data to the Risk computation engine and output.

Benefits

Single click computation of Market Risk Reports.
Effective risk monitoring due to complete drilldown facility till transaction level.
Bank is able to comply to SMM and IMA approaches and effective Integrated capital computation and compliance.
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