Risk Framework Future Developments & Extensions

Future developments and extensions of Risk Framework include:

  • Integration of additional modules within the Basel III Framework:
    • Internal Rating Based Foundation Approach (IRB F)
    • Internal Rating Based Advanced Approach (IRB A)
    • Stressed VaR and Incremental Risk Charge
    • Credit Value Adjustment (CVA) and Deposit Value Adjustment (DVA)
  • Implementation of standard compliance check procedures in the investment area, according to investment laws of various countries, using the compliance check modules of Risk Framework
  • Extension of market risk internal models by Historic Simulation
  • Extension of credit risk internal models by CreditRisk+
  • Interconnection between Risk Framework and Risk Engine
  • Implementation of the IFRS Hedge Accounting module
  • Development of new applications in various industries, other than the finance industry, for example in:
    • Energy
    • Transportation
    • Construction
    • Real Estate
    • Commerce