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)