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ECAP LeaderTM

Capital - Measured

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No two financial institutions are alike. But every bank – whether it’s a less complex organization or a major multi-national bank – can utilize capital modelling to more effectively assess and benchmark risk profiles, inform risk tolerances, allocate capital, meet regulatory and rating agency requirements, and strategize for the future. BankingBook Analytics understands that capital modelling is not one size fits all and provides a complete range of economic capital modelling solutions.

BBA's ECAP Leader provides an integrated view of capital for material risks, using a modelling engine attuned to the credit cycle, such that economic capital rises in good periods and starts to fall, relatively, in bad periods as losses are realized.

The primary purpose of ECAP Leader is to be used as a baseline capital reporting tool for the determination of risk-adjusted capital requirement mapped to the risk appetite. This capital metric is used for BCAR and ICAAP.

Core Benefits

  • Help management and boards set and monitor capital, subject to pre-agreed risk profile, e.g., AA, BBB, etc.
  • Make decisions based on the organization’s capacity, appetite, and actual risk level.
  • Better informed decisions relating to risk-based returns on credit transactions and investments.
  • Helps management demonstrate to regulators that they are comprehensively managing capital.
  • Develop an Economic Capital-based yardstick to evaluate Economic Solvency.

KEY METRICS

  • Key risk parameters of material risks, e.g., Probability of Default and Loss Given Default, Capital-at-risk, Value-at-risk, etc.
  • Enterprise-wide Economic Capital at a pre-agreed risk profile, covering key risks, such as, credit, market, operational risks.
  • Suitable for BCAR and ICAAP.

MODULES ORGANIZED AROUND HOW YOU WORK ON REGULATORY COMPLIANCE AND INTERNAL REPORTING

Credit risk

Risk-profile adjusted credit risk capital requirements based on frequency and severity of default using the Economic Capital approach

Operational risk

Operational risk based on Basic Indicator Approach

Market risk

Value-at-risk based capitalization for banking book investments

Business risk

Risks impacting earnings volatility which result from strategic board and management decisions

Interest rate risk

Economic value of equity analysis for interest rate risk in banking book

Concentration Risk

Concentration risk based on mark-to-market approach

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