Fermat CAD

The Basel II Accord is built around three pillars: Pillar 1 describes minimum capital requirements calculations for different types of risks, Pillar 2 describes the supervisory review process, which ensures establishment of appropriate risk management processes, and Pillar 3 addresses market discipline through specific public disclosure.

Fermat CAD provides a regulatory capital calculation solution to help comply with all three pillars of the Basel Capital Accords and provide the basis for economic capital assessment. It offers an immediate response to the requirements of the Basel Committee and the European Capital Requirements Directive (CRD) as well as to national banking supervisor interpretations of the supranational texts.

Fermat CAD allows banks to:

Large amounts of data need to be warehoused to accurately allocate capital charges over the bank’s entire exposure portfolio. Data quality is extremely important in order to ensure the most accurate estimates of future loss and to prevent reconciliation issues with accounting statements. We offer an enterprise datamart that easily extracts all required data from source systems and provides comprehensive checks to ensure data quality. The datamart supports large volume of exposures and provides the foundation for storing and managing data to meet all your risk data warehousing needs.

Fermat CAD is a flexible, expandable solution that has translated customer best practices into an extensive financial data model. It can easily handle the complexities of the banking industry and optimize risk-weighted assets (RWA) calculations while also benefitting other business requirements, such as economic capital, which is critical in Basel II Pillar II.

Fermat CAD can combine risk management solutions and models to create an integrated, enterprise-wide risk management system. It is integrated with RiskAnalyst, RiskCalc and CreditEdge for customer scoring and probability of default modeling. Integration with Fermat VAR delivers compliance with market risk internal models approach on trading book portfolios. Fermat CAD also integrates smoothly with Fermat ALM for a complete assessment of the different market risks over your banking book exposures, such as liquidity risk (receiving increased regulatory focus) and interest rate risks, which are measured in full compliance with the Pillar II requirements. Combining Fermat CAD and Fermat GEM, banks can manage limits based on regulatory capital usage.