New IRB Models’ Methodology Standards for an important client in NL

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We worked closely with our client in order to utilise, up to a maximum level the Bank’s experience and the existing Bank’s policies, procedures and modelling practices. Every existing model methodology was assessed against regulatory and business requirements for maximising the Bank’s Basel IRB model’s compliance and business usage.
Finally, the new Basel IRB Methodology Standards were approved by the Bank in September with an extra compliment on the readability of the document.
Congratulations to everybody who participated in the project!

New project: Implementation of new definition of default

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A retail credit department of an international bank initiated a project to update and implement the new definition of default as per recent ECB guidelines. In the first step model development datasets and initial reporting needs to be set up and in a second step models will be redeveloped and implemented in the reporting production systems.

Infotonomy supports the program owner and team with in-depth regulatory knowledge and experience in the area of models, data, IT and stakeholder management. The latter is especially relevant considering the complexity due to dependencies with other change programs.

Infotonomy will deliver a vision on the redevelopment of models and priorities in the implementation and will ensure quality control for related policies, processes and system changes.

Stay ahead of the Basel IRB regulatory requirements

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Financial institutions are subject to an ever-growing set of regulations, putting tremendous pressure on staff to comply with each requirement. Non-compliance is not an option and therefore, every party must be prepared for responding quickly to the new era challenges.

Our people, having worked in several key projects over the last 3 years, have developed a comprehensive knowledge around new legislation and requirements. This knowledge has been embedded and we can proudly announce that Infotonomy is ready for the new era. Our comprehensive and compliant solutions deal with several topics around Basel IRB and give an advantage point to our clients.

Some of the topics that our solutions cover are:

  • Data Preparation: Data Requirements, Data Quality assessment, Data Reconciliation, Data Aggregation, Data Representativeness Assessment, Appropriate Adjustments,
  • Technical Documentation requirements
  • Rating Philosophy (PD & LGD): principles and grades’ construction
  • Risk Differentiation methodologies: Data Sampling, PD, EAD and LGD (both for non-default and default facilities)
  • Economic Cycle & Downturn Period: Economic Cycle identification, Downturn Period identification
  • Model Calibration: Data Sampling, PD Calibration (through-the-cycle), LGD Calibration (observed average, long-run average and best estimate), EAD (through-the-cycle)
  • LGD & EAD Downturn assessment
  • Margin of Conservatism: category A, category B, category C, Additional Conservatism
  • Model Testing (both for risk differentiation and calibration): Discrimination, Accuracy, Contingency, Volatility, Sensitivity
  • Expert Judgement & Qualitative Analysis
  • Low Default Portfolio modelling (PD/EAD/LGD)