With the new Basel II accord, European banks are faced with the prospect
of meeting higher standards for risk management, while at the same
time having to revamp their record-keeping and reporting practices
in accordance with International Accounting Standards (IAS). This
means that roughly 7000 EU-listed companies are slated to adopt IAS
in parallel with the generally accepted accounting principles (GAAP)
of their home countries.
The main change in the Basel II accord, compared to previous capital
adequacy regulations, is the option for banks to use their own internal
market risk management models, i.e. value-at-risk (VaR) models from
which their regulatory minimum capital against trading book losses
is determined.
Traditional approaches to managing credit risk deliver neither
the insight nor the agility demanded by emerging complex credit
environments. The challenges to match information content, detail,
format, mode, and periodicity to decision support needs and knowledge
of potential users is what makes a complete risk calculation model
in the modern era more complex.
SeE Consulting has developed a component for VaR calculation &
simulation performing stress tests using the Monte Carlo method.
This component is focused towards investors, asset managers &
investment banks that would like to calculate the VaR on a portfolio
and compare it with other portfolio valuation techniques.
It is also imperative that banks & financial institutions will
have to undergo significant changes to meet the IAS requirements.
SeE core banking solution 'True Transact' has all the components
& flexibility to meet these challenges.
|
