Regulatory Capital Management

The EU Capital Requirement Directive ("Basel 2") applies to banks, building societies and investments firms, including hedge fund managers.

Main Features

The capital management module for investment funds cover the following functions:

  • Calculation of minimum capital requirements for market, credit and operational risk based on complex regulatory rules (“Pillar 1”)
  • Derivation of an Internal Capital Adequacy Assessment Process (ICAAP) which accounts for risks that are either underestimated or not captured under Pillar 1 while taking into account correlation and diversification among different risks (“Pillar 2”).
  • Production of “Pillar 3” risk reports 

Capital adequacy engine covers:

  • Market risk capital calculation can be achieved using the standardized and internal models approaches that are both supported.
  • For credit risk capital calculation, Systemic‘s offer contemplates both the standardized and Internal-Ratings Based (IRB) approaches.
  • Economic capital calculation is based on various methodologies, including the “Asymptotic Single Risk Factor” (ASRF) approach, adjusted for concentrations in obligor groups and business sectors.
  • Automatic generation of Pillar 3 reports
  • Guidance and training for the implementation of all Pillar 1 calculations for market, credit and operational risk.
  • Independent evaluation of the adequacy of any investment firm’s internal capital assessment process (ICAAP).