KPMG in India has developed one credit risk model validation solution based on a web platform that has the capability to assess the out of time performance of risk rating models deployed by banks, FIs and NBFCs as per BCBS Technical Paper 14 , OCC-2011-12 guidelines. It validates the model performance at both grade level and at an account level including validation of low default portfolio using appropriate statistical and econometric techniques. The tool in question is relevant under both Basel and FRS 9 regimes.
KPMG ICAAP Capital Management and Stress Testing Tool
KPMG is at present automating ‘KPMG ICAAP Capital Management & Stress Testing Tool’ which would be useful for banks to plan their capital outlay basis the RWA numbers pertaining to both Pillar 1 and Pillar 2 risks, including capital optimisation and stress testing. It would help banks prepare periodic internal reports for credit risk, market risk, operational risk, liquidity risk, concentration risk and interest rate risk in banking books including identification of all material risk and active portfolio monitoring. It would also entail stress testing module to be carried out to assess the impact on capital adequacy ratio and liquidity.
Credit Risk Model Validation
KPMG Text Analytics Tool
KPMG in India has designed a solution to identify affected contracts that were to be impacted by the discontinuation of the LIBOR rate. AI-ML enabled solution was leveraged to review and assess contract compliance with industry regulations as well as for searching and extraction of answers to key LIBOR related questions from scanned contract documents. It involved creation of a data dictionary from the source documents, isolating and capturing priority data elements and creating a structure based on asset class through logical modeling and NLP algorithms.
IFRS 9 – Expected Credit Loss
KPMG ECL Calculation Tool measures Expected Credit Loss (ECL) as per IFRS 9 standards for retail and corporate lending segments. The solution is based on an open source software (Django, Python) with capabilities that enable automated ECL calculation ( one year and lifetime ) for client portfolios across the 3 stages. It uses the transition-based approach for PD computations, models EAD and LgD as per BIS guidelines.
Deferred Tax Computation
KPMG in India has designed a solution to provide general information for tax computation such as organisation details, reporting period, tax rate details. The solution is based on a visual basic script to perform deferred tax computation. The solution enables users to compute deferred tax by providing trial balance in a standard format along-with few key input parameters. Reports and dashboard are automatically prepared for the user by the tool’s inbuilt functionality.
IFRS 16 (Leases)
IFRS 17 (Insurance)
Risk Advisory
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