Module 10: Legal Reporting / Basel II

Analysis Modules 1) Contract Data 2) Market Data 3) Accounting (Balance Sheet / P & L) 4) Exposure (GAP, Value) 5) Value At Risk (VAR) 6) Funds Transfer Pricing (FTP) 7) Capital Adequacy (CAD, Market Risk) 8) Dynamic Simulation (Scenario/Strategy) 9) Historical Analysis 10) Legal Reporting (Credit Risk, Basel II) 11) Total Risk Management Framework

'RiskPro Modules by Dendrit Risk Management' Credit Risk (Basel II) Credit Risk Contract Input Data: Contract Data Flat File Interface - RiskPro: Institution (with focus Credit Risk) - RiskPro: CDS (Contract Data Set) : PAM, ANN, GAR, LIM, CRL) - GADB entities: (Contrat, Contract_Part, Credit_Part) Counterparty Input Data: Counterparty Data Flat File Loader - RiskPro: Counterparty controller - GADB entities: (Counterparty, Counterparty_Ref, Counterparty_Structure, Rating_Observation) Rating Input Data: Normal SQL Insert Statements - RiskPro: Statistical classes controller - GADB entities: (Rating_System, Rating_Class, Country) Output Calculations: - Current Exposure - Potential Exposure with Add-ons - Potential Exposure Scenario Simulation - Expected Credit Loss Simulation - CAD Credit Risk Reporting - Potential Exposure Monte Carlo - Credit Loss Distribution Monte Carlo - Credit Derivatives