RC-Non-Financial Risk Capital Model
Put a defensible capital number on the risks that have no market price
The problem
Operational and other non-financial risks resist measurement. There is rarely enough loss history, the events that matter most have never happened to you, and the correlations between them are exactly what nobody can observe. The common response — a workshop, a scorecard and a percentage — produces a number no one believes and no one can defend. RC-Non-Financial Risk Capital Model gives the judgment somewhere rigorous to live.
What it does
Quantifies operational and other non-financial event risk for ICAAP and risk-appetite purposes. Infers correlations from arrays of conditional event probabilities, and reports mitigated against unmitigated capital.
Who uses it
Bank risk functions, Insurers, Asset managers and investment firms, Multilateral development banks
What’s inside
ModellingLoss Distribution Approach · Gaussian or t copula · Correlations inferred from conditional probabilities · Consistency checks on the probabilities you enter
DistributionsBeta, lognormal, generalised Pareto and empirical severity · Single-event and Poisson loss events · Mitigated and unmitigated severity and likelihood · Seeded, reproducible runs
ResultsVaR at several confidence levels · Marginal VaR by exposure · Sub-portfolio losses · Probability-against-impact charts
Working with itWeb application, multi-user · Results dashboard · Built into RC-Stress Testing System · Workshop-based input supported
What changes for your risk team
- Defensible operational-risk capital even where loss data is thin — correlations come from structured workshops, not guesswork.
- Mitigated and unmitigated results side by side, so you can see which controls earn their cost.
- A figure for ICAAP and risk appetite at group and sub-group level.
How it feeds the rest of the suite
- RC-Economic Capital System: the non-financial risk tab of the capital dashboard
- RC-Stress Testing System: the non-financial engine inside stress projections
See RC-Non-Financial Risk Capital Model on your own data
A demo takes an hour. A pilot on your portfolio takes weeks, not quarters.