Analyse de rentabilité
A banking group had to adapt its counterparty credit risk and CVA risk calculation framework for derivatives and repos under the Basel IV / CRR3 reform. As the target calculation chain was not ready for the first CRR3 regulatory closing, the client needed to identify alternative CCR and CVA RWA production solutions to secure regulatory reporting under the new framework.
The project combined regulatory analysis, diagnostic of available production options and assessment of risks associated with each solution. The review covered materiality by perimeter, feasibility, process impacts, source system data extraction, COREP production, financial result consolidation and operational readiness for the regulatory deadline.
Accuracy supported the client in comparing alternative CCR and CVA RWA production solutions and assessing their regulatory, operational and implementation risks. Our work provided a decision-making framework to select the most appropriate approach and secure compliance with Basel IV / CRR3 requirements and reporting timelines.