The banks' internal risk parameter rating systems are an important aspect of the first pillar of Basle II. Banks which select an internal rating-based (IRB) approach use it to determine the regulatory minimum capital requirements for their credit risk. Historical time series relating to customer characteristics, default events and losses are an important basis for establishing risk parameters - and they are associated with high data quality requirements. zeb/ supports banks in the development and use of regulatory authority-compliant rating systems and risk parameter evaluation procedures, and the generation of the necessary database.
zeb/ supports you in the design, implementation and validation of rating systems for the Basle II risk parameters PD (Probability of Default) and evaluation procedures for LGD (Loss Given Default) and EAD (Exposure at Default). We have many years of project experience and extensive know-how - from the development of complex statistical evaluation procedures to the implementation of staff training measures. We also help you to ensure that the risk parameters can be used for other applications.
Our services:
- We assist you in the design and implementation of Basle II-compliant evaluation procedures and in the group-wide roll-out of the rating system.
- We support you in the design and implementation of a risk-adjusted pricing strategy and (partially-) automated credit decisions and/or limit maintenance.
- We support you in the methodical, technical and process-related group-wide implementation of a default and loss database.