Risk Reporting

RiSK-VBox calculates automatically the risk-weighted assets and the corresponding credit risk capital charges as set forth in the Basel II/III regulations. The calculations are performed on single instrument level. The Standardized, the Internal Rating Based (IRB) and mixed approaches are supported.

Main Advantages

  • Fully automated credit risk reporting process, achieved through additional software tools implemented at the bank.
  • Lower and / or more robust capital adequacy ratios at the bank, achieved through improved and stable application of the Basel IRB framework (for a part or for the whole portfolio).
  • Better data availability, data quality and data consistency at the bank, achieved through improved system integration.

Risk Reporting

Asset classification

Asset classification is configured using quantitative and qualitative criteria, on a single instrument level. RiSK-VBox supports:

  • Determination of Exposure Class
  • Mapping of instruments to portfolios with similar risk characteristics.
  • Determination of Credit Rating / Credit Score.

Exposure at Default

Exposure At Default is determined automatically in RiSK-VBox:

  • Consideration of credit risk mitigation instruments, netting agreements and collaterals
  • Consideration of Volatility-adjustments (in the IRB approach only)