products and services on this topic are organized in three categories:
(i) risk quantification for retail lending, (ii) risk quantification
for corporate lending and (iii) model validation.
The New Basel Capital Accord offers challenges and rewards to banks
worldwide. Even the most sophisticated financial institutions will
be required to re-evaluate and document their credit processes as
never before, particularly banks seeking to implement the Foundation
and Advanced Internal Rating Based (IRB) approaches. The latter
approach requires significantly increased data capture and retention
procedures. Banks are required to estimate internally the risk components
(PD, LGD and EAD) and to have at least five years worth of history
to allow validation and calibration of resultant models.
Implementation of the New Basel Accord will reward financial institutions
with far greater security and tighter controls, as well as provide
new levels of confidence for directors and shareholders.For the
estimation of the risk components for retail lending there are minimum
requirements on the data available and the way segmentation is performed.