[Case] Credit Risk Regulatory Capital Requirements Engine

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25/10/2021

Representative Case Finance & Compliance

Credit Risk Regulatory Capital Requirements Engine

Development of an assessment to establish the characteristics of the system as a whole and a high-level architecture to guarantee its flexibility. Development and implementation of the system for a set of standard portfolios covering all the cases included in the regulations. Progressive migration of the rest of the portfolios.

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The approach

Centralize in a single system the calculation and reporting of capital requirements for credit risk of a Tier I entity, covering all regulatory calculation methods established by the regulations (standard, IRB, slotting).

Covering not only calculation and reporting needs, but also design a flexible and adaptable system to a changing regulatory environment.

Results

In less than 9 months, the results of the engine started to be used in production and legacy systems began to be commissioned.

The execution of the Projects allows the entity to :

- Reduction of in-house resource requirements as a result of the optimization of calculation criteria, as well as the improvement of the quality of source information.
- Drastic reduction in processing times, equipment and number of manual adjustments.

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