As part of our solution for risk quantification of retail exposures
we have built a three-tier framework (segmentation for “homogeneous”
pooling, risk component modelling and risk-weighted assets estimation).
The advanced segmentation and modelling techniques of our framework
allow a bank to satisfy the requirements set by the Accord as well
as incur substantial savings in capital.
For the estimation of the risk components for corporate lending
we apply the techniques and models that we have developed for Financial
Risk Rating for Small Business and Commercial Lending.
For validation of the models involved in the IRB approach we use
the diagnostic system we have developed for Model