The simulation of the impact of COVID-19 on regulatory capital ratios will be one of the biggest challenges in the next weeks for banks. Both board members and supervisors are keen on understanding how the crisis will impact the capital ratios over the next three years. Based on the discussions with our clients, and the many years experience in RWA calculation and simulation tools we developed: (please click on picture to open)
PwC Pandemic Analysis and Scenario Simulation tool
PwC’s tool for the simulation of the impact of COVID-19 on capital and RWA of banks.
PwC PASS is an ‘R’-based scenario simulation tool that supports banks with all the challenges involved in the simulation of the impact of the COVID-19 pandemic on regulatory capital ratios, in particular those relating to credit risk. PwC PASS combines many years of experience in the calculation and simulation of credit risk RWA according to current and future regulatory requirements, such as Basel IV and NPL backstop. PwC PASS is compatible with most common regulatory reporting software products and is highly flexible in its parametrisation and definition of stress scenarios. Generally, all calculations will be done on the most granular level. However, they can also be run on an aggregated portfolio level if needed. Results are provided on a granular level with a set of predefined reports and can be analysed using BI-tools, allowing for an individual and detailed impact analysis.
Please contact us if you need more detailed information about PwC and the simulation of the COVID-19 impact on regulatory capital ratios. Your local PwC expert can be found on our Basel IV webpage: https://www.pwc.com/gx/en/services/advisory/basel-iv/territory-leads.html