Basel II a - Oracle · Basel II (potential) „Basel III ... - Links to Basel II specific...

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Pal Ribarics – EU Enlargement

Countries Solition Team, Financial Services

Mobil : +36 309 712 028

pal.ribarics@oracle.com

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Basel IIBasel II

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BASEL II Goals BASEL II Goals

Pillar I

Minimum Capital: complex seriesof calculations and options

described so that a financial services company may

calculate regulatory capital

Pillar II

Supervisory Review Process: banks should work

closely in conjunction with their regulators.

Transparency is a goal!

Pillar III

Reporting Market Discipline and Public Disclosure:

Banks must report on a wide variety of risk metrics

Oracle Regulatory Capital Manager

Evolving methodologies – credit risk

1988 Capital Accord

• Recognition of different expo-sure classes

Foundation Internal Ratings-Based (IRB)Approach

• Continuous risk weighting function based on Probabilities of Default (PD)

• Supervisory estimates of Loss Given Default (LGD)Exposure At Default (EAD)

• Limited recognition of financial collateral

Portfolio-Management

Models

Basel II(potential)

„Basel III“

Advanced Internal Ratings-Based (IRB)Approach

• Continuous risk weighting function based on Probabilities of Default (PD)

• Internal estimates for Loss Given Default (LGD)Exposure At Default (EAD)

• Explicit consideration of maturity

• Broader class of eligible collateral

Standardised Approach

• Recognition of different exposure classes

• Risk weighting according to external ratings

• Limited recognition of financial collateral

Basel I

Sophistication & Complexity

Continuos Set of Approaches

Survey of West European BanksSurvey of West

European Banks

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Oracle’s solutionOracle’s solution

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E-Business Repository

Oracle Applications Enterprise Risk Platform

WorkflowWorkflow

ReportingReportingBasel II DashboardBasel II Dashboard

TCA Financials OFDM Seeded Rules

Oracle Warehouse BuilderOracle Warehouse Builder

Basel II Data ModelBasel II Data Model

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WorkflowWorkflow

TCA Financials FEM Seeded Rules

Financial Data ModelFinancial data repository:• Financial Instruments• Derivatives• Guarantees, Netting• Collateral • Limits and Provisions• Product Dimensions• Org Unit Dimensions

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WorkflowWorkflow

Seeded RulesPre-configured, extensible risk-weighted asset calculations and supervisory factors for credit and operational risk.

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WorkflowWorkflow

Enterprise Risk PlatformA set of APIs that encapsulate financial account and customer data to enable integration of third-party or internally-developed models of risk analytics directly into the Oracle Basel II solution.

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Technology in data management

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WorkflowWorkflow

Oracle Warehouse BuilderETL tool that provides processes to extract and cleanse source data from disparate systems

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WorkflowWorkflow

Oracle WorkflowMoving data in and out of the data store. Integrated with Internal Controls Manager and Regulatory Capital Manager to allow financial institutions to put processes and procedures into practice. Business rules to deploy workflows based on business events.

Calculation and reporting

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How Oracle helps address the Basel II requirements

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PD LGD EAD M

risk weighted calculation

capital calculationand allocation

AMA operational riskcalculation

archiving audit trail

data management

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Basel II functionality for risk capital

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WorkflowWorkflow

Regulatory Capital Manager

Calculates minimum capital requirement for credit risk and operational risk. The RCM system also calculates the RWA for credit risk, operational risk and market risk

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– Standardized Approach– IRB Approach (Advanced & Foundation)– Mitigation Calculations

� Maturity Adjustments, Haircuts, etc…� " ��

– Users may edit calculations parameters and regulatory factors via lookup tables or configuration settings.

� Organizational Unit and Asset Class Based Elections– Allows for highly flexible and granular definition of business

assumptions based on asset class or organizational unit so that elections can be made at any level.

� Election Dependency Logic– The User Interface automatically modifies dependencies between

elections so that Accord parameters are not violated

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WorkflowWorkflow

Internal Controls Manager

An application for implementing, tracking and auditing internal processes and procedures to demonstrate regulatory compliance. ICM consists of a self-assessment, a risk library, and an audit section.

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Incident TrackingFully customizable

data collection

Risk Library

Auditing

Monitoring

Risk Identification

Map internal Loss data into the standard

Basel II categories

Transparency for Supervisory analysis

Single view ofControls andIncidents data

Self-assessment toolfor various levels of

customer sophistication

Features Basel II Benefits

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Setup Business Structure,Processes

Risk Library

Scope Audit Projects

Conduct Assessments

Data Gathering Processes-Internal-External

ModelGeneration/Application

ScenarioAnalysis

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TrackIncidents

Test Internal Controls

Calculate Key Risk Indicators

Regulatory Capital +Reporting

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WorkflowWorkflow

Risk Manager

An Asset Liability Management tool to satisfy the required external market reporting requirements surrounding interest rate risk in the banking book

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ReportingA standard set of quantitative and qualitative reports support Basel II internal reporting requirements

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WorkflowWorkflow

Basel II DashboardSummary view of Basel II data and processing, including- Key Performance Indicators- Links to Basel II specific calculation rules- Summarized Process status information- Links to seeded reports

� �� ! �� ! � ��Oracle Discoverer 4i is a data query and analytical reporting tool that

provides the ability to create ad hoc queries and Basel reports directly from the Oracle Financial Data Manager.

These are key elements:

�User parameters

�Calculated fields

�Shared reports

�Tabular and cross-tab reporting

�Access to Oracle Applications databases

�Delivery via Internet Browser

�Ability to customize

�Drill down and up capabilities

�Relative Type Periods

�Sub total

�Virtual Columns

Partrner SolutionsPartrner Solutions

Pál RibaricsOracle Corporation

mobil : 06-309-712-028

Thanks for your attention !

Q U E S T I O N SQ U E S T I O N SA N S W E R SA N S W E R S

Basel II a - Oracle · Basel II (potential) „Basel III ... - Links to Basel II specific...

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Basel II Kriterlerinin Reel Sektöre Etkileri ve Basel III

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