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Development of a Tier 1 Bank’s Basel Credit Capital models

Basel Credit Capital models
RAS@IQ


Development of a Tier 1 Bank’s Basel Credit Capital models

Case Background:

A tier 1 South African Bank needed to automate their models according to SARB and Basel regulations. This would create a controlled environment with change control processes and procedures in place to ensure proper governance techniques would be followed.

Approach:

The project was divided into the following nine work streams:

  1. Integrated Model Framework SAS code that references the code for each model and allows the models to be automated on a single script.
  2. Technology requirements and platform created a stable and reliable technology environment, dealing with issues such as access, capacity, licensing and storage.
  3. RWAs and regulatory reporting provided regular communication and updates in terms of capital movements to all authoritative bodies including SARB, the holding company and Group Regulatory Finance.
  4. Management understanding and training roles and responsibilities were defined, and workshops were held to ensure efficient transfer of knowledge to all the relevant areas.
  5. Policy review, alignment and embedding to identify operational and methodological challenges relating to compliance and to adjust policies, develop and implement new policies.
  6. Governance to ensure governance processes and policies were adhered to.
  7. IT engagement to define and agree procedures to be followed for the production, testing and implementation of the models.
  8. Data integrity and quality to develop validation metrics for the models.
  9. Internal media communication and project update to ensure that all stakeholders were kept up to date with the progress of the project.

How we helped their business grow:

  • Regulatory compliance Model, automation and optimisation.
  • Stable capital numbers and reporting figures.
  • Change control processes and procedures.
  • Availability of resources.

Our approach:

Development of a Tier 1 Bank’s Basel Credit Capital models

Regulatory compliance Model, automation and optimisation.


Development of a Tier 1 Bank’s Basel Credit Capital models

Stable capital numbers and reporting figures.


Development of a Tier 1 Bank’s Basel Credit Capital models

Change control processes and procedures.

Benefits to client:

Development of a Tier 1 Bank’s Basel Credit Capital models

Transfer of knowledge.


Development of a Tier 1 Bank’s Basel Credit Capital models

New policies implemented.


Development of a Tier 1 Bank’s Basel Credit Capital models

Data integrity and quality.

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