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Basel II - Modeling, Reporting, Stress Testing
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Home / Solutions / Credit Risk Management / Basel II - Modeling, Reporting, Stress Testing

Basel II - Modeling, Reporting, Stress Testing

Empowering customers to attain compliance with Basel II requirements for retail credit risk management while improving reserve capital and credit portfolio management efficiency.

Scorto solution for Basel II covers all aspects of New Capital Accord compatibility:

  • Rating, Scoring and Analytics
    Whether you need to develop rating models in-house based on historical data or you require experienced analysts to create rating models for all products in your retail portfolio. Whatever your strategy is Scorto has a sensible platform to suit your needs. Scorto offers a rating and segmentation model development tool (Scorto Model Maestro) with built-in methodology that will tremendously speed-up your scorecards and PD, LGD or EAD model development for different credit products from personal loans to SME loans and for different segments of your retail credit portfolio. Rating and scoring model development services from Scorto will cover your needs completely if you don’t plan to do everything in-house.
  • Monitoring and Reporting
    Visual, drag-n-drop-managed reporting with pre-defined Basel II reports allows monitoring the quality and structure of the credit portfolio, as well as the adequacy of the rating models used, stability of PD-buckets and changes in reserve capital requirements. And even more, with The Scorto Supervisor reporting and monitoring tool you can add your custom portfolio management reports, get automatic alerts and automatically update whole branches of portfolio reports.

Sensible combination of methodology, rating tools, portfolio monitoring and consulting to address your Basel II needs.
  • Segmentation and Decisioning
    Visual change of pre-defined risk strategies, Basel II risk parameter calculation flows for sub-portfolios, easy to change PD, EAD, LGD models by business users, automation of decisions, fast batch processing, borrowers rating on account, customer or sub-portfolio level as well as easy visual rules for risk-based portfolio segmentations, different loan portfolio management rules and PD, EAD, LGD calculations for different risk segments.
  • Stress Testing
    Special software for credit portfolios stress-testing and monitoring – Scorto Accord. The software offers convenient business-user oriented stress-testing framework with a number of pre-defined stress testing scenarios and intuitive drag-and-drop interface for easy scenario adjustment and customization. With Scorto Accord you get transparent (and Basel II compliant) stress testing methodology to satisfy the regulator’s requirements;
  • Data Warehouse Optimized for Basel II
    Special internal data warehouse specifically designed to store risk calculations correctly for sub-portfolios and other Basel II related data. Unique innovation in data access and storage offers you the fastest processing on the market, so you can process your portfolios on account level during office hours however large they may be.
  • Basel II Consulting and Documentation
    Comprehensive review and analysis of your particular business situation and information flows, followed by knowledge transfer, advice and assistance in Basel II solution implementation, including preparation of detailed documentation required for external and internal audit of Basel II compatibility.

  Why Basel II?

  • The New Basel Capital Accord (Basel II) is the international standard that banking regulators can use when creating regulations about how much capital banks need to put aside to guard against the types of financial and operational risks banks face. To be compliant with Basel II any bank needs to implement credit rating techniques that represent risk profile of their particular credit portfolios. The Internal Rating Based Approach of Basel II allows banks to use their own models for estimation of risk parameters. There are 3 key Basel II risk parameters:
    • The likelihood of a default by the counterparty – probability of default (PD);
    • The absolute losses value under default – exposure at default (EAD);
    • The share of the losses under the counterparty's default – loss given default (LGD).
  • The risk parameters are used to calculate capital adequacy, to manage lending business and to control credit risks on portfolio and sub-portfolio level.
  • To be compliant with Basel II many lending organizations are required to change significantly their business processes, data collection and risk management.

  Sensible
 
  Tailored
 
  Vigorous
On demand or automatic daily/weekly/monthly/quarterly calculations of all risk factors for all subportfolios.
  PD, LGD, EAD models based on your portfolio and take into consideration your business flow.
   For every credit product for every region for every sub-portfolio – automatic reports generation with alerts.