UAE-based First Gulf Bank is using technology from SunGard to implement a risk management framework for capital calculations and Basel II compliance.
SunGard says First Gulf will use its BancWare product for regulatory capital calculation and reporting requirements, Basel II compliance and asset/liability management, to help it to measure and manage balance sheet interest and for foreign exchange rate risk. Meanwhile the vendor's Adaptive technology will provide the bank with market risk management for off-balance sheet issues.
The software will help First Gulf to evaluate market risk at origination, says SunGard. This will enable reliable, real-time measurement of the risk position. The system will also provide historical, Monte Carlo value at risk (VaR) simulation and variance/covariance VaR, back-testing and stress-testing calculations and analytics in a transparent form.
The bank will also use SunGard's data integration tool to collect, cleanse and sort the core banking system data before it enters the risk engines.
Arif Shaikh, chief risk officer for First Gulf Bank, says: "By providing an integrated solution for Basel II and risk management, SunGard will help us expand our on- and off- balance sheet risk management capability and help us to produce regulatory compliant reporting that meets the requirements of both the Basel accord and the central bank."
SunGard's partner in the region, Advanced Financial Solutions, will provide First Gulf with added implementation support.