Basel II Model Development

Being at the forefront of credit risk management technology, Scorto has incorporated The Basel II Accord principles since they were issued. This allowed our team to gain unparalleled experience in this field which we now successfully apply developing custom Basel II models for PD, EAD, LGD calculations and assisting our customers in the development of internal ratings based systems.

Deploying Scorto Basel II models allows our customers to build a more risk-sensitive capital framework with incentives for good risk management practice.

Having the Basel II models deployed in-house you:

• Quantify your risk according to Basel II principles;
• Increase your Return on Capital managing your reserve capital more effectively;
• Set up a risk management system that is transparent for your local regulator;
• Qualify for Basel’s market disclosure requirement.

With Scorto’s vigorous model development services you benefit from:

1. Close cooperation from our analysts with your team to define and meet your business goals.
2. Sensible choices based on ‘Cost vs. Benefits’ analysis of alternative approaches.
3. PD, EAD, LGD models tailored to your business and environment.
4. Customization to meet your local regulator’s requirements.
5. Specific approaches for different businesses (retail, auto, mortgage, corporate).