Case Study

Basel III RWA Optimisation

Basel III RWA Optimisation

Pages 2 Pages

Digital Quality & Testing Data Risk & Regulation Strategy Client Challenges: Lack of consistency: inconsistent RWA numbers resulting from poor data quality made it difficult for the business to make strategic decisions (eg. incorrect counterparty rating etc.) Internal model limitations: issues with internal models due to a lack of multi-jurisdictional regulatory approval, structural rigidity, and restrictions in terms of asset-class coverage Differing on-boarding processes: variances in regional and local client on-boarding processes negatively impacted the quality, completeness and consistency of client reference data Inconsistent client reference data: Asset Value Correlation (AVC) and Credit Valuation Adjustment (CVA) flags for counterparties were determined manually Inaccurate clie

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