Major Asia-Pacific bank: Enhancing credit risk-rating models to achieve compliance with Basel II’s criteria for internal rating models
Our first step was to segment the bank's portfolio and review the existing rating models applicable to each segment. Then, we presented a set of development options, along with an estimate of the likelihood that each option would achieve Basel compliance. Now, the team is redesigning a range of obligor rating models, which will be finalized into PC-based model prototypes and fully documented in line with the relevant Basel requirements for model estimation, validation and the assurance framework.
Work in the operational risk area includes: expanding the capture and analysis of loss data; developing a process for the annual review of operational risks and risk control policies within business lines and support units; and establishing a central operational risk team to coordinate risk measuring, monitoring and reporting. With the completed framework, managers will be able to control operational risk within the limits of the bank's overall risk tolerance.
Experience
Our Finance & Risk in Financial Services engagements include:
