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    • Dan Brennan
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    • Michael Castro
    • Chiranjib Chatterjee
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    • Shaheen Chaudhary
    • Sudha Datta
    • Mark Dougherty
    • Warren D'Souza
    • André Fortier
    • Mike Firth
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    • Sahil Malik
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    • David McIntosh
    • Indranil Mitra
    • David O'Marra
    • Arlene Palango
    • Doug Pirie
    • Karthikeyan Raaj
    • Jayanth Rao
    • David Rose
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Basel III

(including FRTB – fundamental review of the trading book)

Starting January, 2022, banks are required to report their regulatory capital under Basel III (including FRTB – fundamental review of the trading book). The reported capital will have to be based on the risk-weighted asset (RWA) that is calculated in the credible and consistent way as prescribed in Basel III.

As seasoned auditors we can be engaged by any bank in reviewing each components of RWA – credit risk, market risk, counterparty credit risk (CCR), CVA risk and operational risk to ensure their full compliance with all applicable regulatory requirements. Our reviews can cover specifically but are not limited to

Credit Risk
·        Controls around the determination of credit exposures and risk weights for RWA calculation under the standardised approach.
·       Compliance of rating structure and credit parameters (PD, LGD, and EAD) under the internal rating based approach.

Market Risk
·        Sensitivity calculations that underlie the standardised approach for RWA.
·        Risk measurements, monitoring and reporting under the internal models approach.
·        Trading business – definition of trading desks and trading instruments, backtesting and P&L attribution tests.

CCR & CVA
·        Risk measurements under both standardised approach and internal model method.
·        CCR limit monitoring and reporting, backtesting and stress testing.
·        Risk sensitivity calculations for both CVA and CVA hedges.

Operational Risk
·        Internal loss data collecting and processing.
·        Calculations of business indicator components.
Take the worry out of regulatory compliance
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      • Accounting & Financial Reporting
      • Internal Audit Outsourcing
      • Accounting Outsourcing
      • IFRS
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    • Risk and Compliance
      • Enterprise Risk
      • Operational Risk
      • Third-party Risk
      • Basel III
      • Corporate Social Responsibility
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    • Covid/BCP
    • Credit
      • Basel IV
    • AML
      • AML Training
    • Cyber Security
    • Marketing
    • Trading
    • Privacy
    • Change Management
  • Industries
    • Financial Services
    • Capital Markets
    • Structured Finance
    • Pension Services
    • Credit Unions
    • Asset Management
    • Brokerage
    • Corporations
  • Experts
    • Ken Clarke
    • Bijan Alagheband
    • Basel Anbari
    • Andrea Aimi
    • Wadih Antoun
    • Kapil Arya
    • Katia Barakat
    • Sharon Bauer
    • Mo Bhamra
    • Tim Boucher (CIA)
    • Dan Brennan
    • Michael CamilleriI
    • Michael Castro
    • Chiranjib Chatterjee
    • Mumtaz Chaudhary
    • Shaheen Chaudhary
    • Sudha Datta
    • Mark Dougherty
    • Warren D'Souza
    • André Fortier
    • Mike Firth
    • Frank Grigg
    • Paul Hedges
    • Andrew Hockin (Compliance)
    • Ken Green
    • Harry Gundy
    • Jim Harris
    • Mitch Hirshhorn
    • Sumit Jha
      • Sumit Experience
    • Elyan Jabre
    • Balveen Kaur
    • Kshitij Kaushal
    • Rohin Khurana
    • Data - Kieng Iv
    • Ron Kusano
    • Rebecca Lai
    • Mark Levesley
    • Cecily Ma
    • Tom O'Carroll
    • Simran Makkar
    • Sahil Malik
    • Terry Martinuk
    • Ed Mathur
    • David McIntosh
    • Indranil Mitra
    • David O'Marra
    • Arlene Palango
    • Doug Pirie
    • Karthikeyan Raaj
    • Jayanth Rao
    • David Rose
    • Dhritiman Roy
    • Nandini Roy
    • Dhruv Sachdev
    • Dominic Vogel
    • Bing Wang
    • Terence Yhip
    • Digital Solutions
  • Careers
  • Privacy Policy
  • Disclaimer