'금융부문/Fermat 제품'에 해당되는 글 5건

  1. 2011.12.06 Why Choose RiskAuthority?
  2. 2011.12.06 RiskAuthority
  3. 2011.08.08 Fermat ALM
  4. 2011.08.02 Fermat Basel II 솔루션 사용 고객
  5. 2011.08.02 Fermat solution 제품들
One Single, Modular Platform
RiskAuthority centralizes and stores all your Basel III capital and liquidity risk data in a single risk platform (RiskFoundation™) offering access to users across the organization. Risk, finance and liquidity teams can easily access the same asset, off-balance sheet exposure, repo,derivative and counterparty data for faster and more efficient regulatory ratio calculations. The consistent data quality checks and archiving procedure across risk types increases the reliability and accuracy of the data used in the calculations. Additionally, the platform is extensible allowing customers to maximise their initial investment by adding additional Moody’s Analytics solutions for ALM, scenario analysis, limits
management, credit risk origination and internal rating models on the same platform.

Open Architecture
A key benefit of RiskAuthority is its open architecture that works with existing data source systems for smoother data extraction and loading.
Customers can rapidly deploy the solution, expand users and volume and integrate into any additional upstream and downstream systems.
Streamlined Regulatory Reporting
RiskAuthority includes the languages and formats used by local supervisor’s in over 50 countries and counting. Leveraging Moody’s Analytics awardwinning Regulatory Reporting Tool (RRT), the solution offers over 2000 pre-configured reporting templates, satisfying group and multi-jurisdiction reporting requirements within one solution. Its flexibility allows you to use the outputs from RiskAuthority alongside imported results from other systems. And Moody’s Analytics integrates the latest regulations as they evolve, saving you the time and effort of building and updating your own regulatory reports.
Award Winning Software You Can Trust
Used by over 120 financial institutions globally for Basel I and II risk management we have the knowledge and experience to make our solution work for you. Our dedicated team of implementation consultants will help design your implementation plan and keep your project on track. While our in-house training experts can help train your employees on the latest regulatory risk and finance issues. And to prove our success, Risk Magazine readers have voted our software the number one regulatory capital calculation solution for the last four years and Asia Risk readers voted Moody’s Analytics number one for liquidity risk management in 2010.

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RiskAuthority calculates, consolidates and reports your organizations regulatory credit risk, market risk,
operational risk, concentration risk and liquidity risk. It offers a truly integrated and comprehensive solution – from centralized data management, fast and accurate capital, liquidity and leverage ratio calculations, holistic stress testing and integrated regulatory and management reporting. With RiskAuthority you can be
confident you have the strongest solution in place to manage your organizations local and global Basel I, II and III requirements.

The Challenge: Basel III Compliance, Streamlined Regulatory Reporting and Increased
Performance in a Stricter Regulatory Environment

Basel III presents new challenges for regulatory capital and liquidity risk management. The new regulations raise the amount and quality of capital banks should hold, increase the capital charge for counterparty credit risk, introduce new liquidity and leverage ratios and focus on greater risk integration and improved stress testing practices. Global and local risk managers will need quick and easy access to centralized credit and liquidity risk data to accurately calculate the new ratios. Heads of Regulatory Reporting need to deliver more comprehensive regulatory reports starting in 2013. And Chief Risk Officers are being challenged for more executive and board level reporting to lower the cost of capital and funding and to increase the overall risk adjusted bank performance. Staying ahead of the regulatory challenge has become even more critical.

Comprehensive Regulatory Compliance and Reporting


Basel I, II and III Regulatory Compliance

RiskAuthority offers an end-to-end solution to manage Basel I and all three pillars of Basel II and III while accounting for jurisdictional differences in capital and liquidity requirements.

  • Pillar 1: Calculate New Basel III Capital, Liquidity and Leverage Ratios
    • Consolidate and store all Basel I, II and/or III required data, including assets, liabilities, off-balance sheet exposures, counterparties, ratings, risk drivers and market data, on one central platform
    • Calculate the new Basel III credit risk capital requirements in the standardized or Internal Ratings Based (IRB) approaches including the new capital charge for Credit Valuation Adjustments (CVA)
    • Compute market risk and operational capital charge using standardized approaches
      Calculate all required information for the new Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) including liquidity buffer eligibility rules and haircuts
    • Consolidate leverage, capital (including the new conservation and countercyclical buffers) and liquidity ratios per booking entity or currency
    • Monitor large exposures, concentration risk and funding concentration per customer, products, country and currency
    • Leverage an EL based approach to assess provisions, complying with IFRS 9 impairments rules
    • Manage diverse national discretions and local regulatory reporting requirements

    Pillar 2: Improve Risk Management Processes
    • Perform liquidity stress testing for internal funding needs assessment for ILAAP
      Assess economic capital for ICAAP using Moody’s Analytics RiskFrontier™
      Run holistic scenarios, including rating downgrades and security value decrease, impacting all Basel III ratios
    • Stress risk drivers and market data, including ratings, PD, LGD, CCFs, haircuts, run-off, sell-off, FX rates and yield curves
    • Define forward looking scenarios based on business forecast assumptions and macro economic factors
    • Simulate forthcoming regulatory changes to
    • ease impact assessments

    Pillar 3: Improve Risk Disclosure

    • Streamline and automate the production of Pillar 1 regulatory capital, concentration risk and liquidity reports and submit in local supervisor’s preferred languages and formats (MS Excel, XBRL and/or XML)
    • Generate customized Pillar 3 market and stakeholder reports Manage ongoing regulatory updates
      Enhance Board and Executive Management reporting with customizable and user-friendly dashboard
      reporting tools

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Essential Monitoring of Your Balance Sheet Risks


Fermat ALM, an integrated solution for comprehensive balance sheet risk management for the banking book.  This solution offers built-in static and dynamic simulation capabilities to help ALM professionals improve their efficiency, enhance performance and obtain a more accurate and consistent view of balance sheet risk.

Fermat ALM provides essential monitoring of balance-sheet risks for the banking book. Covering a wide range of financial products, Fermat ALM offers built-in static and dynamic simulation capabilities to help ALM professionals define more efficient risk-return tradeoffs and comply with regulatory requirements.


The evolving economic landscape presents huge challenges for asset and liability management. Recent financial turmoil has placed greater emphasis on liquidity management with tighter regulations and reporting requirements. Common data and indicators used by asset and liability managers need to be quickly shared with risk departments for sophisticated client behavior modeling and balance-sheet amortizing assumptions. At the same time, asset and liability managers need to focus on interest rate risk management with increasing demand for more dynamic simulations and a better understanding of the sources of profitability through Funds Transfer

Pricing (FTP). Treasury and risk managers and ALM Committees (ALCO’s) need a robust and comprehensive balance sheet management solution to meet these evolving needs.


The Solution: Enhance Strategic Decision Making and Improve Financial Performance

 

Consolidate Risk Data

Accurate and consistent data consolidation is critical to achieving sound asset and liability management. At the core of our solution is the Fermat Datamart — a robust data warehouse enabling multi-user and multi-geographical site connection to a single platform, streamlining simulation and reporting techniques across all legal entities and business units. Its comprehensive data-handling capabilities offer financial institutions a cost-effective, integrated solution that helps improve data quality.

Monitor Risks and Improve Performance

Fermat ALM offers robust and flexible scenario analytics allowing you to monitor interest-rate risk covering client behavior modeling, new business and stochastic scenarios. The robust stress testing engine allows you to manage your liquidity by calculating the liquidity gap. You can also calculate the maturing and non-maturing instruments on your balance sheet through the Funds Transfer Pricing (FTP) module, giving you a clearer understanding of the organizations sources of profitability.

Deliver Comprehensive Risk Management Reports

Fermat ALM manages all of your management reporting needs by delivering fully-customized reports including gap reports, cashflow reports, funds transfer pricing reports, balance sheet and income statements, Earnings at Risk (EaR), Value at Risk (VaR) and EVE (Economic Value of Equity) reports and many more. ALM managers can quickly and easily add new variables to these reports, modify displayed values and save them for future use. Our award-winning Regulatory Reporting Tool (Fermat RRT) allows you to leverage our regulatory reporting expertise to meet local liquidity and balance sheet regulations.

Key Features


 

Interest Rate Risk 
Gain a dual vision of interest rate risk through income sensitivity measurements—covering interest rate gaps, dynamic modeling and stochastic simulations—and comprehensive balance sheet value sensitivity.

Liquidity Risk 
Monitor your daily risk positions through cash flow gaps and maximum cumulative outflow measurements. The robust stress testing engine allows you to statically and dynamically simulate systemic and specific events through flexible stress testing.

Foreign Exchange Risk 
Analyze currency changes on a range of indicators using our comprehensive currency scenarios.

Client Behavior Modeling 
Model deposits and savings using a replicating portfolio approach (helping you define the strategy that minimizes the net interest income sensitivity to interest rate movements) and loan prepayment and renegotiation.

New Business Scenarios 
Produce budgetary and customer scenarios defined by type of contract.

Stochastic Scenarios 
Produce short rate models and FX rate simulations and measure the correlation between the various risk factors.

Funds Transfer Pricing 
Integrated FTP functionality for the whole balance sheet or to complement an existing FTP system.

Regulatory Compliance 
Meet local liquidity and interest rate regulatory requirements with a complete audit from the original 
exposures to the final regulatory reports.

Extensive Instrument Coverage 
Includes a wide range of on- and off- balance sheet instruments which can be extended through the use of proprietary or third-party systems.



[한글로 보시려면, 아래 Tool바에서 한글로 선택해주세요.]








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바젤 II와 관련하여 전세계적으로 실질적으로 가장 많은 Reference 보유
유로 권역에 위치한 상위 20위 은행 중 11개사에서 Basel II 솔루션으로 페르마 사용.
라보뱅크(Rabobank), ABN Amro그룹, 소시에떼 제네랄 그룹, Fortis그룹 등 초대형 금융기관들이 페르마 사용
대부분의 레퍼런스가 그룹차원에서 바젤 II 전 분야를 대상으로 구축
아시아권에서도 한국, 싱가폴, 대만, 태국 등 다수의 금융기관에서 사용 중.

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통합된 Data Mart를 기반으로 Basel II 요건 충족 및 확장성을 가진 통합 Solution

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