Basel II

We provide support for implementation of the Basel II IRB Approach which allows a Financial Institution to use its own estimates of risk and therefore benefit from improved risk management practices.

Statistical Decisions’ Approach is based on the close cooperation between the Consultant and the Client to ensure successful implementation. This is achieved by establishing clear reporting channels, regular client-consultant review meetings and a thorough verification process.

The services offered are in line with the BCBS Framework, the European Credit Requirements Directive (CRD), the Committee of European Banking Supervisors (CEBS) as well as the Acts and guidance documentation of local Supervisors.
The following Services are offered for the Retail and Small Business portfolios of a Financial Institution:

Consultative Support

Specification of data requirements

Design of implementation methodology

Design of Monitoring and Validation Process and Reports

Technical Support

Implementation of methodologies for PD, EAD and LGD

Recalibration of existing models to Basel II definition (Application, Risk Grades, Behaviour Scores).

Development of new models or strategies for PD for segments not covered by existing models

Development of LGD and EAD component models

Pool Segmentation and LGD, PD and EAD Risk Components Estimation

Development of Monitoring and Validation Reports