NEW DEFINITION OF DEFAULT
For the institutions that use the Internal Ratings based (IRB) approach, Finalyse assesses the impact on the parameters of credit risk and how it is going to influence the expected loss calculations and, by extension, risk weights. We help you adjust the historical data feed in your IRB model to comply with the new definition of default. For the institutions that use the standardised approach we assist with recalibrating the rating systems.
How does Finalyse address your challenges?
Recalibrating rating systems
Embeding the new definition into the IT systems
Global overview, predicting the impact via a comprehensive simulation
Support in preparation for the necessary approval of the new models by the competent authority
Option for simultaneous implementation together with other regulatory changes (IFRS 9)
Easing the workload on the reporting teams (large difference in the number of defaults before and after the introduction of the new definition)
Key Features
- Due to the significance and wide impact of the implementation of the new definition of default within banks’ internal procedures, documentation, governance, systems and database, the only way to prepare everything on time is to handle it in a project mode.
- Such complex project should involve the right skills, methodological, functional, technical as well as data-oriented profiles.
