basel ii a - oracle · basel ii (potential) „basel iii ... - links to basel ii specific...
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Pal Ribarics – EU Enlargement
Countries Solition Team, Financial Services
Mobil : +36 309 712 028
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Basel IIBasel II
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BASEL II Goals BASEL II Goals
Pillar I
Minimum Capital: complex seriesof calculations and options
described so that a financial services company may
calculate regulatory capital
Pillar II
Supervisory Review Process: banks should work
closely in conjunction with their regulators.
Transparency is a goal!
Pillar III
Reporting Market Discipline and Public Disclosure:
Banks must report on a wide variety of risk metrics
Oracle Regulatory Capital Manager
Evolving methodologies – credit risk
1988 Capital Accord
• Recognition of different expo-sure classes
Foundation Internal Ratings-Based (IRB)Approach
• Continuous risk weighting function based on Probabilities of Default (PD)
• Supervisory estimates of Loss Given Default (LGD)Exposure At Default (EAD)
• Limited recognition of financial collateral
Portfolio-Management
Models
Basel II(potential)
„Basel III“
Advanced Internal Ratings-Based (IRB)Approach
• Continuous risk weighting function based on Probabilities of Default (PD)
• Internal estimates for Loss Given Default (LGD)Exposure At Default (EAD)
• Explicit consideration of maturity
• Broader class of eligible collateral
Standardised Approach
• Recognition of different exposure classes
• Risk weighting according to external ratings
• Limited recognition of financial collateral
Basel I
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Sophistication & Complexity
Continuos Set of Approaches
Survey of West European BanksSurvey of West
European Banks
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Financial Data ModelFinancial data repository:• Financial Instruments• Derivatives• Guarantees, Netting• Collateral • Limits and Provisions• Product Dimensions• Org Unit Dimensions
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Seeded RulesPre-configured, extensible risk-weighted asset calculations and supervisory factors for credit and operational risk.
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Enterprise Risk PlatformA set of APIs that encapsulate financial account and customer data to enable integration of third-party or internally-developed models of risk analytics directly into the Oracle Basel II solution.
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Oracle Warehouse BuilderETL tool that provides processes to extract and cleanse source data from disparate systems
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Calculation and reporting
Calculation and reporting
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How Oracle helps address the Basel II requirements
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Regulatory Capital Manager
Calculates minimum capital requirement for credit risk and operational risk. The RCM system also calculates the RWA for credit risk, operational risk and market risk
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An application for implementing, tracking and auditing internal processes and procedures to demonstrate regulatory compliance. ICM consists of a self-assessment, a risk library, and an audit section.
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Map internal Loss data into the standard
Basel II categories
Transparency for Supervisory analysis
Single view ofControls andIncidents data
Self-assessment toolfor various levels of
customer sophistication
Features Basel II Benefits
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Risk Manager
An Asset Liability Management tool to satisfy the required external market reporting requirements surrounding interest rate risk in the banking book
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ReportingA standard set of quantitative and qualitative reports support Basel II internal reporting requirements
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Basel II DashboardSummary view of Basel II data and processing, including- Key Performance Indicators- Links to Basel II specific calculation rules- Summarized Process status information- Links to seeded reports
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provides the ability to create ad hoc queries and Basel reports directly from the Oracle Financial Data Manager.
These are key elements:
�User parameters
�Calculated fields
�Shared reports
�Tabular and cross-tab reporting
�Access to Oracle Applications databases
�Delivery via Internet Browser
�Ability to customize
�Drill down and up capabilities
�Relative Type Periods
�Sub total
�Virtual Columns
Partrner SolutionsPartrner Solutions
Pál RibaricsOracle Corporation
mobil : 06-309-712-028
Thanks for your attention !
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