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Incremental Risk Charge

By 2012, all banks will need to calculate not just their Value at Risk (VaR) but also their Incremental Default Risk (IDR), right across the business, at least once a week.

The Incremental Default Risk Charge (IDRC) - the latest modification to the Basel II framework - aims to protect investors from the kinds of random and devastating events that caused the demise of several major banks during the credit crisis. In particular, it targets trading books - a fast-growing and increasingly important slice of global banking activity. Since these contain complex, and often illiquid, credit products, they leave banks inherently vulnerable to credit and market risk.

Choosing the right route to regulatory compliance is critical - both for your investors' protection and your own success.

White Paper

From Dramatic Drought to Fluid Finance: A new era in liquidity risk management

How SAS Can Help

By building on and integrating with your existing systems, we help you achieve compliance quickly and effectively, minimising your risk of additional capital charges.

  • Relieve the management burden: Our flexible, transparent environment lets you manage the whole process, from identifying risk to measuring, mitigating and monitoring it, simply, quickly and regularly.
  • Improve risk awareness: By linking your credit and market risk calculations, you break down the silo mentality, creating a more integrated picture of risk across the organisation.
  • Boost accuracy: Our solutions use the most powerful predictive analytics available.
  • Enhance your Regulatory Capital and Economic Capital management: The ability to model current and future exposure not captured by existing models will allow for tighter capital management.
  • Mitigate implementation risk: Because our solution is modular, you can implement it in stages, reducing your initial capital outlay and testing the effectiveness of each stage before moving to the next.
  • Achieve economies of scale: An embedded IDRC process brings market and credit risk together, cutting down on the resources needed to perform these operations while improving accuracy.
  • Keep up with evolving legislation: Our models can be quickly and easily adapted as requirements change.
 

Ready to learn more?

Call us at 01628 486 933 (UK) or request more information.

 

 

Questions?

 

Whitepaper

From Dramatic Drought to Fluid Finance: A new era in liquidity risk management