Oracle Financial Services Analytical Applications recently released the 8.0.2 upgrade.  Below are some major enhancements for ERM.


Liquidity Risk Management

  • Intraday liquidity risk management
    • Intraday liquidity metrics computation and reporting
      • Regulatory templates based on BIS and RBI guidelines
      • Stress Testing of payments and intraday positions
    • Real- time monitoring of Intraday liquidity positions
  • Forward date forecasting
    • Forecasting of liquidity gaps and calculation of LCR for forward date/s
  • LCR calculations for the following jurisdictions:
    • Reserve Bank of India


Model Risk Management

  • Model Management
    • Ability to link upstream & downstream models with usages and upstream and downstream usages with models
    • Ability to create usage from model details
  • Integration
    • Planning & Scoping integration for scheduling assessments, attestations and full Review
    • MRM integration with EMF and RRF to seamlessly capture model details into MRM for tracking
  • Assessments & Full Review
    • Full review of models or usages based on material changes to model/usage. Ability for the administrator to setup full review of all associated models and usages or only notify such stakeholders
  • Attestation
    • Questionnaire integration for bulk attestation with a single task for bulk attestation rather than multiple tasks
    • Attestation questionnaire specific to KBD instead of global questionnaire
  • Reports & Dashboards
    • New Reports in Models & Usages dashboard providing a holistic view of all the associated models and usages
    • Reports of models and usages dependent on a selected input & output variable
  • Others
    • Flexible KBD related enhancements which allows managing the business dimensions as per organization specific requirements
    • Configuring the default business restructuring in MRM
    • Rationalization of input and output variables (single set of reference data for input and output variables given that output of a model can be an input for another downstream model)
    • New set of reference data for stages and actions added in RDM
    • Association of review cycle against the document associated to each model development stage


Loan Loss Forecasting & Provisioning

  • Product enhancements to address IFRS 9 final guidelines on Credit Impairment by means of introducing new set of pre-built runs
    • Stage Determination
      • Rule based stage determination supported by pre-built rules
      • Flexibility to enhance the rules as per organization specific requirements
      • Exhaustive Product Coverage
      • Loans, Loan Commitments, Overdrafts, Cards, Guarantees, Investments
    • Multiple Methodologies
      • Cash Flow based
      • Forward Exposure based
      • Provision Matrix & other methods
    • Stage Manual Reassignment
      • Workflow based process (optional) to reassign/override stages considering qualitative and judgmental factors
      • GUI based with search & filter options
    • Risk Measure Estimation
      • Calculation of Expected Credit Loss - Allowance & Provision (both “12 Month” and “Lifetime” ECL)
    • Treatment for POCI accounts
      • Specific treatment and calculation for Purchased or Originated Credit Impaired (POCI) accounts
    • EIR & EIS
      • Computation of Effective Interest Rate (EIR) or EIS
      • Computation of Credit Adjusted EIR or EIS for POCI accounts
    • Probability of Default
      • Calculation of  “12 month” and “Lifetime” Probability of Default values
    • BI Analytics
      • Pre-configured dashboards and reports
      • Point in time and trend reports
      • Reports with drill down options to enable detail analysis


Market Risk

  • Valuation and risk calculations
    • Integration with 3rd –party vendor for valuation and risk calculations
    • Enhancements to address CVA calculations including EPE and PFE
    • Enhancements to incremental and marginal VaR
  • Market Risk Framework
    • Compliance with new market risk framework issued by BIS
  • Dashboards enhancements


Basel Regulatory Capital Calculation

  • New Jurisdictions
    • CRD IV  (STD)
    • CBRC (B III)
  • Regulatory updates
    • Central Counterparty Exposure (BCBS282)
    • Equity Investment (BCBS266)
    • Securitization (BCBS269)
    • Market Risk Standardized  Approach (BCBS265)
  • RWA Forecasting
    • Simplified Approach

 

Operational Risk Economic Capital

  • Support for ‘R’
    • OREC will leverage on platform ‘R’ capabilities to deliver statistical algorithm
  • Additional Statistical techniques
    • G-H distribution
    • Inter arrival plot
    • Auto-correlation plot, etc.
  • Sensitivity Analysis
    • Left tail losses
    • BEICF factor, etc.
  • Back testing
  • Enhanced Scenario modeling
    • Individual Scenario Approach
    • Percentile based Approach
    • Parameter based Approach
  • Severity Modeling
    • Support for shifted Distribution
  • Scaling: inflation, ticket size
  • Integration with OR
  • Enhanced Data management and Data Visualizations