1. How to Build an Internal Rating System for Basel II Aidan O’Mahony Managing Director Tel: +44 207 826 3518 Standard & Poor’s Risk Solutions
2. Risk Solutions was formed in 2001 in response to client demand for tools and services to better manage credit risk exposures. Risk Solutions is the customised risk management services arm of Standard & Poor’s focusing on: 1. Customised Credit Services (internal rating systems) 2. Credit Tools, Models, Data & Research (eg Pd & LGD) 3. Credit Training (Open enrolment and Custom Courses). Standard & Poor’s Risk Solutions
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4. What is an Internal Rating System ? Consistent rating approach across all classes Desk-top IT application – intranet delivered across an organisation Analytical and Management tool for tracking credit exposures and linking into Raroc models Satisfies Basel II Internal Ratings-Based Approach requirements
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6. Rating and PDs: Internal Ratings System (RMS) Qualitative assessment Quantitative Assessment S&P’s Rating Templates External Ratings External Models Peer comparison Bank’s own internal view
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11. Large corporates and specialised lending Sample template – Insurance Companies European Bank Evaluation of Qualitative Factors Credit factors Weights
12. Clear and consistent rating criteria Large corporates and specialised lending Sample template – Insurance Companies
13. Large corporates and specialised lending Sample template – Insurance Companies Evaluation of Quantitative Factors European Bank
14. Quantitative Assessment Based on S&P’s Experience Benchmarks are provided per sector and market Large corporates and specialised lending Sample template – Insurance Companies
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27. A idan O’Mahony Managing Director Standard & Poor’s Risk Solutions Tel: + 44 20 7826-3 518 Fax: + 44 20 7826-3565 E-mail: Aidan_O’Mahony @StandardAndPoors.com Standard &Poor’s Risk Solutions Garden House 18 Finsbury Circus London EC2M 7NJ United Kingdom Contacts
