Sacombank launched the project "Upgrade valuation model and build the required capital calculation model for market risks"05/07/2019
Accordingly, this project will help Sacombank achieve the main objectives: upgrade pricing and quantitative risk models in line with the current and future business portfolio; develop methodology for calculation of capital requirement for market risk according to standard measurement method (SMM) and internal model (IMA); develop a method of endurance testing which includes principles / assumptions, testing and ensuring to fully identify events that likely impact the business portfolio under market risk in order to offer timely responses...
The contract signing ceremony and the launch of the project "Upgrading the pricing model and building a model to calculate the required capital for market risk".
“As a pioneer bank, Sacombank expects to apply the most advanced practices and standards in modernizing risk management activities in terms of capital management and foreign exchange business to ensure safe and sustainable operation of the Bank. This is also the reason why Sacombank started the project of upgrading the valuation model and building the calculation model of capital requirement for market risk in order to bring about dramatic changes in quality, comprehensive innovation, creating a foundation of sustainability, meeting the competitive business environment in the coming time ”, Ms. Nguyen Thi Kim Oanh - Director of Sacombank's Capital Resource and Foreign Exchange Market Division dum Project Director shared the reasons for implementing the project.
According to Mr. Grant Arthur Dennis - President of PwC Vietnam, Vietnam's financial market has changed very quickly in recent years, requiring banks to pursue a substancial adjustment level. Therefore, this project will be a critical step for Sacombank in its journey to become a leading retail bank in Vietnam. PwC is committed to bringing a team of experienced consultants in both international and Vietnamese markets to collaborate with Sacombank to complete the project at the best quality.
Mr. Grant Arthur Dennis - President of PwC Vietnam speaks at the signing ceremony.
“With the motto of continuous learning, we always want to access the most advanced knowledge and practices in the market and the world as well as gain experience from leading experts to apply the global risk management standards, the Board of Directors (BOD) of Sacombank decided to focus resources of the Bank to implement Basel II projects in general and in particular is implementing the project “Upgrading the valuation model and building the required capital calculation model for market risks”. The completion of this project not only meets the expectations of the SBV, but more importantly, to improve the governance and management system of Sacombank and help Bank’s staff access to advanced knowledge that is practicing by other global financial institutions”, Ms. Le Thi Hoa - Independent Member of Board of Directors, Chairman of Steering Committee for implementation of Basel II project shared at the signing ceremony.
Ms. Le Thi Hoa - Independent Board Member, Chairman of Steering Committee for implementation of Basel II project shared at the signing ceremony.
In 2015, Sacombank was honored to be one of the first ten credit institutions selected by the SBV to pilot implementing Basel II standard. In 2017, Sacombank carried out the Project of loan creation system (LOS) to help automate and professionalize the allocation and credit management. Next, in 2018, Sacombank launched 2 projects on risk management, namely "Improving the risk management database framework" and "Credit risk quantification model". These are the two most important projects of Sacombank in the process of completing the Standard Approach (SA) and advancing the internal approach of Basel II. In February 2019, Sacombank and PwC Vietnam Consulting Co., Ltd. officially started the project "Upgrading and perfecting the Asset - Liabilities Management Framework (ALM)". By investing in key projects, Sacombank has been preparing all resources towards the goal of completing Basel II.