)
)
)
The second pillar of Basel II goes beyond the calculation of risk ratios set down in the first pillar. The central focus of the second pillar is on the supervisory review process, which is conducive to the individualisation of bank supervision. Model valuation and monitoring through regular back testing and stress testing are a core aspect of the second pillar and play a particularly important role in the use of advanced methods. Two further key aspects of the second pillar of Basel II are the measurement of those risks that are not covered by the first pillar as well as the establishment of an internal capital adequacy assessment process (ICAAP).
Stress Testing
FlexFinance enables the execution of not only regular, but also of ad hoc stress tests for banks. This allows the banks to get a complete, comprehensive view of the consequences arising from serious influences.
Managing Interest Rate Risk
FlexFinance presents customers with a comprehensive solution for measuring and managing interest rate risk. This includes all sources of interest rate risk as well as the value and yield effects of changes in the interest rate. The effects on products with non-deterministic maturities are also taken into account for the sake of consistency.
ICAAP – Internal Capital Adequacy Assessment Process
With FlexFinance, FERNBACH provides a robust and comprehensive solution to support banks in the Supervisory Review and Evaluation Process (SREP) and help them initiate the required Internal Capital Adequacy Assessment Process (ICAAP). The solution features a complete range of standard models as well as credit portfolio and value at risk models (VaR). The high-performance modelling tool supports the bank in quickly adapting to new requirements, e.g. the creation of new internal risk models.
