Under this phase, our structured approach to Basel II compliance comprises a number of inter-related modules:
Credit Risk: Our structured approach consists of eight inter-related Basel II compliance modules.
Credit Risk Governance Module
Defining the bank's risk charter, its risk governance and risk organisation structure. Mapping the roles and responsibilities of the risk organisation to the objectives of the defined risk charter.
Credit Risk Policy & Procedure Module
Developing the risk policy architecture of the financial institution and mapping the procedures to enhance the efficiency of the credit risk function. Policies and procedures are specifically designed to meet Basel II compliance requirements.
Credit Risk Mitigation (CRM) Module
Modifying / developing credit risk mitigation related policies to ensure the bank's compliance with Basel II regulations. Supporting the establishment of a CRM management unit and credit risk mitigation system.
Corporate Rating Module
Developing rating models / scorecards for non-retail portfolios. For instance, this could include corporate rating models, middle enterprise rating models, small enterprise scorecards and specialised lending rating models for areas such as project finance, real estate finance and securitisation rating frameworks.
Retail Scorecard Module
Developing an application and behavioural scorecards for different retail products. Bank specific scorecards are built using judgmental and statistical techniques, depending on the availability of data.
Retail Portfolio Segmentation Module
Segmenting portfolios into homogeneous risk pools using statistical techniques which comply with Basel II guidelines covering different types of retail portfolios.
Parameter Estimation & Validation Module
Estimating credit risk parameters (PD, LGD and EAD) for each portfolio, and conducting validation tests of existing models and their risk parameters.
Regulatory Capital Calculation Module
Conducting regulatory capital impact studies under different approaches, and calculating the capital required under Basel II regulations using the Standardised and Internal Rating Based approach.
Market Risk: Our structured approach consists of five inter-related Basel II compliance modules.
Market Risk Governance Module
Aligning the bank's market risk function (i.e. middle office) to its overall risk governance structure. This includes mapping the roles and responsibilities of the market risk function to the objectives of the defined market risk charter.
Market Risk Policy & Procedure Module
Developing market risk policy components or aligning existing components with Basel II guidelines. Such components would include areas such as trading book policies, internal model management policies and revaluation policies.
Market Risk Measurement Module
Developing and implementing VaR methodologies based on the market's level of sophistication. This encompasses the development of valuation models of market risk-related portfolios while taking into consideration the client's key risk drivers, specific risks and risk correlations.
Validation Module
Validating existing VaR and valuation models employed at the bank to measure market risk, including testing of model assumptions and parameter estimates.
Regulatory Capital Calculation Module
This proprietary tool is used for estimating the capital required under both the Standardised and Internal Model approach to comply with the Basel II guidelines.
Operational Risk: Our structured approach consists of five inter-related Basel II compliance modules.
Operational Risk Governance Module Defining the bank's operational risk organisation and governance structure, with clear roles and responsibilities.
Operational Risk Policies Module Modifying or framing the bank's operational risk management policy, including aspects such as its RCSA policy, outsourcing policy, business continuity policy, IT security policy and disaster recovery policy.
Self Assessment Module Implementing the Self Assessment Framework applicable for the bank.
KRI (Key Risk Indicator) Module Developing and implementing the Key Risk Indicator Framework.
Regulatory Capital Calculation Module Estimating the capital required for using the Basic Indicator, Standardised and Advanced Measurement approaches, to comply with the Basel II guidelines.