In preparation for Basel II banks have developed a full range of internal methods in short time. Now that the new framework became effective the focus will move to validation, back-testing and to the full coverage of the portfolio.
Our network members have gained experience in numerous Basel II related engagements. From the development of rating methods to the implementation of a group wide RWA calculator we have contributed to the success of a large variety of projects.
We are familiar with the subtleties of the regulatory treatment of securitisation and the pitfalls of LGD estimation.
The successful application for the IRB approach is a big achievement and still just the beginning. The challenge for the upcoming years is the implementation of a solid credit portfolio model and the integration of the quantitative methods developed for Basel II in the day-to-day credit risk management. This will be the basis for truly risk based economic capital models.