Real Time Capital Analytics - Economic Capital Optimiser

Chase Cooper’s unique aCCelerate RTCA (Real Time Capital Analytics) enables users to model and quantify capital charge for Basel II operational risk management.

aCCelerate RTCA is a proprietary mathematical model that uses Monte Carlo simulation to calculate capital charge based on the existing internal loss data, available external loss data and Business Environment and Internal Control Factors (BEICFs) contained in the risk and control assessment (RCA), as well as using scenario analysis data. The model fully complies with Basel II AMA capital requirements.

The BEICFs are modelled in RTRA (Real Time Risk Analytics) and the output from RTRA can be transferred into RTCA to combine with internal and external loss data, in any desired weightings. Economic as well as regulatory operational risk capital charges can be computed in RTCA at any user specified quantiles using Monte Carlo simulation. In addition, RTCA has the ability to take into account any correlation between business lines and between loss event types. 

 

Key features of aCCelerate RTCA

  1. Basel II AMA compliant operational risk capital charge calculation model

  2. Highly flexible combination of internal loss, external loss data, BEICFs and scenarios at any desired individual weightings

  3. Availability of the most commonly used probability distributions for modelling loss frequency and impact

  4. Ability to specify any correlation between business lines and between loss event types

  5. User friendly interface and simple calibration

  6. Transparent modelling design, process and methodology

  7. Easy linkage with the aCCelerate suite of products

  8. Extensive training and methodology support from Chase Cooper

 

Key benefits of aCCelerate RTCA

  1. Facilitates the direct comparisons of regulatory and economic capital charges across multiple business lines and loss event types

  2. Enables the application of historical and prospective scenario analysis to examine the impact on capital allocation

  3. Allows the measurement of various business lines’ performance based on capital allocation

  4. Assists risk managers in understanding capital allocation and communicating with internal and external stakeholders

  5. Reflects capital requirements for current business environments as well as future plausible outlook

  6. Provides valuable information for business planning and strategic decision making

  7. Aligns fully with the organisation’s operational risk management framework and supports enterprise wide operational risk management

Accelerate RTCA 430w

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