Finalyse RWA SmartCheck
Finalyse RWA SmartCheck is a Python-based redevelopment of the CRR3 Validation Toolkit, designed to deliver high-speed simulations and granular impact assessment for capital-floor requirements.
Users can modify input parameters, methodological assumptions, or portfolio structures and obtrain an instant preview of the resulting RWA and capital impact. The tool supports full-scope standardised and IRB RWA calculations and is fully aligned with the evolving CRR3 regulatory framework.
Delivered with expert assistance for installation, data ingestion, and configuration, RWA SmartCheck provides a flexible environment for continious capital-optimisation analysis.
Comment Finalyse peut vous aider à relever ces défis ?
Run SA on entire portfolio
- Business rules defined as per CRR3 and Basel IV Standardised Apprach
- Removes the effort on user-defined test cases
- Benchmarking for output floor
Optimise your RWA
- Perform allocation of credit risk mitigants to simulate RWA reduction
- Gauge specific dimentions contributing to RWA optimisation for strategic decisioning
Customise as you need
- Add/modify dimensions "outside" the Basel IV calculation standards for impact assessment- ex: Mortgage floors prescribed by local regulators
Fully Transparent
- Get a complete view of all the calculation rules as specified in the regulations
- Traceability for audit/validation purposes
Leverage Test Cases Simulator
- Open-source (R-based) test cases generator for easiest modifications
- Asset class specific dimentions can be added easily
- Skew the number of test cases based on the bank's actual portfolio
Exposure-class dimensions
- For corporates, view SME and Specialized Lending level results
- For retails, view transactor info
- For Mortgages, get Whole Loan vs Split Loan results
Comment cela fonctionne-t-il en pratique ?
Finalyse RWA SmartCheck performs Standardized calculations on the entire portfolio of the bank, which is used for the output floor as stipulated by the regulation. With this toolkit, leverage Finalyse’s CRR2 and CRR3 test cases simulation engine for generating exhaustive test cases covering the bank’s portfolio.
In essence, the tool works in the following ways:
- Reads input text files with integrated data model for the calculation engine. Alternatively, leverage open-source code to transform into use cases for validation
- Performs Standardized RWA calculations for different configurations (CRR2, D424 (Basel IV), CRR3) with credit-risk mitigant allocation
- Demonstrates each stage of workflow and produces compatible output for comparing results
Key Features
- Computes full Standardized run calculations for the entire portfolio
- Provides the ability to compare both CRR2 (Basel III) and Basel IV/CRR3 results – perform faster validation for CRR3 implementation
- With the open source (R-based) test cases generator, create exposure-class specific test cases complying with CRR2/CRR3 guidelines
- Add local regulator aspects (ex: Mortgage floors) in the tool and customize freely
- Generate comparison reports for impact assessment of moving to CRR3/Basel IV
Abishek Chopra is a seasoned Risk Management professional with over 12 years of experience in multiple areas of credit risk, especially on CRR and Basel guidelines. He has expertise in addressing complex regulatory topics such as credit risk mitigation for RWA optimization of different asset classes, Basel IV application of Whole Loan/Split Loan approaches for mortgages, SA-CCR and Securitisation.
Nathan Desmidt is a Managing Consultant with more than 8 years of experience in risk management. Nathan’s area of expertise lies within regulatory capital calculations, specifically in the context of CRR2/CRD5 and upcoming Basel 4/CRR3 regulations. Recently Nathan has been involved in the implementation of a new RWA calculator at a large financial institution aiming to enable Basel 4 compliancy, focusing on validation of RWA calculations in light of the new framework’s developments.
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