AVATI Solutions
Capital Forecasting Modeler (ICAAP)

Capital Forecasting Modeler (ICAAP)

Detailed forward looking assessment of capital requirements covering all Basel II - Pillar I & II risks, based on projected business plan. Its flexible configurable platform enables users to embed advanced, complex risk models through user-friendly interface. Includes module for stress testing & balance sheet simulation for impact assessment on profitability, solvency and capital.

Overview

  • RiskCube© Capital Forecasting Modeller (ICAAP) is modular, scalable component covering regulatory Pillar 2 capital calculation, ICAAP, & capital stress testing.
  • Provides users with an open platform to configure and conduct Pillar 2 risk assessment to ensure adequate capital cover for all material future balance sheet risks under stress conditions.
  • Prepare and implement annual business strategy & forecasts for capital planning under normal and stressed scenarios.
  • Annual internal long term solvency assessment & planning for future capital requirements based on existing portfolio & future financial plan.
  • Flexible, transparent and configurable platform for organisation capital assessment enabling regulators and auditors to review and evaluate bank's ICAAP process and capital solvency under normal / stress business conditions.

Key Features

  • Comprehensive Transparent Pillar 2 Risk Assessment: Periodic, internal comprehensive capital assessment (normal and stressed) based on business plan and its impact on overall risk profile of projected balance sheet.
  • Group wide structure for capital assessment for all risks covered under pillar I & II with ability to provide capital consolidation at entity and group level.
  • Material Risk Estimation: Enables capital assessment for material pillar II and other residual risks like Credit, Market, Operational risk, Interest Rate, Liquidity, Reputation, Strategic, Concentration, Residual, Settlement, Underwriting, Macro-economic and Commodity risk, etc. Capital assessment based on future business strategy covering above risk dimensions.
  • Robust flexible platform for configuration of advanced Quantitative / Qualitative risk models / scorecards for all risks covering complex algorithms. Flexible Modeling: Allows users to configure multiple models covering all risks - either qualitative, quantitative in nature or combination of both.
  • Detailed risk profile assessment in lines with Supervisory Review Process guidelines issued by local Regulator and international best practices.
  • Comprehensive Flexible Reporting Cube: Front end based dashboards and reports. Includes risk studio allowing user defined reporting covering various portfolio dimensions and measures
  • Risk Concentrations across Dimensions: industry, group, name, product, maturity, regional concentrations etc.
  • Integration of Business and Capital Plan: Allows integration of risk capital and business plans enabling efficient capital management and risk based business assessment.