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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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        • Registration Accounting
      • IFRS
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      • Fraud Risk
        • Fraud Risk Framework
      • Exempt Market Dealers
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    • Covid/BCP
    • Credit
      • Basel IV
    • AML
      • AML Training
      • AML Checking
    • Cyber Security
    • Marketing
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    • Privacy
    • Security, Intelligence & Investigations
      • Surveillance
      • Counterfeit, Copyright & Brand Forgery
    • Change Management
  • Industries
    • Financial Services
    • Capital Markets
    • Structured Finance
    • Pension Services
    • Credit Unions
    • Asset Management
    • Esports Gaming
    • Brokerage
    • Pharma & Healthcare
    • Cannabis
      • Cannabis Sector Risks
  • Assignments
    • IT Asset Management
    • Internal Audit
    • Credit Risk
    • Strategy & M&A
    • AML
    • Compliance
    • Project Management
  • Experts
    • Ken Clarke
    • Bijan Alagheband
    • Basel Anbari
    • Andrea Aimi
    • Wadih Antoun
    • Kapil Arya
    • Katia Barakat
    • Sharon Bauer
    • Mo Bhamra
    • Michael BiZ (Ph.D.)
    • Tim Boucher (CIA)
    • Dan Brennan
    • Chris Caldwell
    • Michael CamilleriI
    • Michael Castro
    • Chiranjib Chatterjee
    • Mumtaz Chaudhary
    • Shaheen Chaudhary
    • Terry Chong
    • James Clayton
    • Sudha Datta
    • Mark Dougherty
    • Warren D'Souza
    • Nabil Eldeh
    • André Fortier
    • Mike Firth
    • Frank Grigg
    • Paul Hedges
    • Andrew Hockin (Compliance)
    • Ken Green
    • Harry Gundy
    • Jim Harris
    • Tim Hanlon
    • Mitch Hirshhorn
    • Sumit Jha
      • Sumit Experience
    • Elyan Jabre
    • Balveen Kaur
    • Kshitij Kaushal
    • Rohin Khurana
    • Data - Kieng Iv
    • Ron Kusano
    • Tony Kwan
    • 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
    • Andrew Richardson
    • David Rose
    • Dhritiman Roy
    • Nandini Roy
    • Dhruv Sachdev
    • Martin Seaton
    • Devanshi Sharma
    • Bill Shek
    • Jane Shen
    • Glenna Smith
    • Ben Swartz
    • Rajesh Varma
    • Dominic Vogel
    • Paul Wallis
    • Bing Wang
    • Ira Wijesooriya
    • Terence Yhip
    • Phil Zanotti
    • Digital Solutions
  • Comparison
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