Basel III
PrevioRisk Basel III module contains reports pertaining to new regulatory requirements introduced in Third Basel Accord.
- Basel III mandates the calculation of an additional CVA capital charge for OTC positions. Previo Risk helps you to measure Unilateral CVA/Bilateral CVA/DVA for this purpose.
- Previo Risk is able to deal with a number of new calculations, match higher data requirements, and be faster, which is in line with the new Basel III guidelines.
- Previo Risk also provides a scenario generator, selection of product pricing mechanisms, a mechanism to age trades, and ways to aggregate MTMs for each scenarios. In addition, it enables you to model collateral and to perform statistical analysis of your portfolio.
| CCR Related Requirements Covered by PrevioRisk | ||
|---|---|---|
| 1 | Stressed EEPE Reports | ✓ |
| 2 | Back Testing Models | ✓ |
| 3 | Measuring Wrong Way Risk | |
| 4 | CVA Capital Charge | ✓ |
| 5 | Independent Review of CCR | |
| 6 | Counterparty Risk Factors | ✓ |
| 7 | Internal Ratings | ✓ |
| 8 | Stressed PDs | ✓ |
| 9 | Collateral Reporting | |
tr/li/td