The internal assessment of risk parameters by banks is a key element of the first pillar of Basel II. Differentiated methods are indispensible for the Internal Ratings-Based Approach (IRBA) so that banks can exactly evaluate the risk of loans. However, risk parameters also play a fundamental role in internal credit decision-making processes. Historical time series on customer characteristics, defaults and losses form an important basis for determining these risk parameters — here the data quality requirements are high, while mathematical and statistical methods dominate their conceptual design.
zeb/ supports you in generating the required data basis and assists you in the design, development, implementation and validation of rating systems for the Basel II risk parameter PD (probability of default) and estimation methods for LGD (loss given default) and EAD (exposure at default). We offer you our long-standing project experience and extensive know-how — from the development of complex statistical estimation procedures and staff training to the integration of the risk parameters into the decision-making process.
Our services:
- Design, implementation and documentation of Basel II-compliant estimation procedures for risk parameters and support in the group-wide rollout of the rating procedures,
- Design and implementation of risk-adjusted pricing as well as (partly) automated credit decision-making and/or limit maintenance, and
- Methodological, technical and process-related support for the group-wide implementation of a default and loss database.
Thereby, zeb/ provides you with sound procedures for exactly assessing credit risks.