Loss database for parameter determination and historicization
Many banks are faced with the complex and time-critical task of implementing the Basel regulatory reporting requirements. Most IT structures reach their performance limits when implementing the required guidelines. A regulatory-compliant loss database is a mandatory requirement, particularly in order to obtain approval for applying the IRB approaches, for which a complete data history of default data must be maintained.
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Loss database for parameter determination and historicization
The following range of services of the loss database makes it easy to master the challenges of parameter determination and historicization:
- Provision of regulatory-compliant default and loss detection
- Configuration of default on a customer and/or transaction basis for IRB retail, based on client-specific criteria
- Individual management of loss data historicization by means of event-related data historicization of defaulted transactions and counterparties as well as event systematization based on the default cycle
- Determination of the realized PD, LGD and CCF risk parameters based on loss database history to validate the bank’s internal estimation procedures
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- zeb’s expert knowledge of legal and regulatory requirements
- Implementation expertise gained at international institutions of different sizes and complexities
- Implementation of an efficient default management with a client-specific design of the calculation methodology
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