The solution will be used by all ABN AMROâs Business Units worldwide. Calculations to support regulatory reporting for the Group in the Netherlands and in more than ten other countries (including the United States, Brazil, Germany, the United Kingdom and France) will be supplied by the software. In addition to the Credit Risk Calculation Requirement module for generating the bankâs Risk Weighted Asset calculation, the following additional functional modules are included in the package: Stress Testing, Back-Testing and Large Exposure disclosure.
ABN AMRO will implement the solution with support from GL TRADE and a consulting company over the year 2005 to be effective in the beginning of 2006. The system will be rolled out to approximately five business unit hubs.
Patrice de Berranger, Head of Normative Risk Business Line at GL TRADE said:
Â«ABN AMRO will benefit from the experience of GL TRADE and Fermat in Basel II solution development and implementation. The Fermat suite of solutions now has more than 20 Basel II reference customers including some of the worldâs largest financial institutions, a number of which are already live. We were highly impressed by the professionalism of the ABN AMRO teams who coordinated the solution selection and met the challenge of addressing the various requirements of their decentralized organization with the simultaneous need for group consolidation in an innovative mannerÂ».