(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.