GSTAT Credit Risk and Basel II Solutions

Challenges in Credit Risk Management

Financial institutions worldwide are required to address several challenges associated with credit risk management: Constantly strengthening competition in the financial services market encourages banks and other financial institutions to offer more credit to their customers while retaining low levels of credit risk. The need to devise and implement solutions to impending regulatory requirements, such as Basel II. The will to leverage technological advancements to develop tools to enable a deeper understanding of customers' credit needs, and a more efficient and advanced management of the institution's risks. While addressing these challenges, financial institutions have realized that they require a better understanding of their entire institution and of individual customers' current and potential risks and business potential.

provides standard regulatory, management, and control reports. The solution includes: Xeligence Basel II Data Scheme The data scheme needed to be collected in order to comply with Basel II on the standardized approach. Basel II Standardized Approach Calculation Engine Calculates RWA and capital allocation according to Basel II guidelines. Set of regulatory, management and control reports.

GRisk Basel II and Credit Risk Center of Excellence

GSTAT Basel II and Credit Risk Center of Excellence is the company's unit in charge of research and knowledge-building in all credit risk and Basel IIrelated matters. Staffed by 100 experts in Credit Risk, Basel II, and Solvency 2, with experience in credit scoring and IRB modeling as well as Basel II implementation and consulting, GRisk is one of Europes largest centers of Credit Risk expertise. The Center's professionals integrate expertise in credit risk and Basel II, coupled with vast experience in statistics and econometric model building in credit scoring applications and IT-based methodologies using different tools and data platforms. Whether using GSTAT Xeligence Credit Risk Suite solutions or implementing tailor-made Credit Risk solutions, GSTAT can provide financial institutions of all sizes the most cost-effective Credit Risk solutions, guaranteeing a quick ROI.

GSTAT Software Solutions for Credit Risk

GSTAT offers financial institutions of all sizes Xeligence Suite for Credit Risk a set of cost effective software solutions. Xeligence solutions enable financial institutions to streamline credit management while complying with regulations such as Basel II. The suite includes the following solutions: Xeligence Credit Risk Scoring Analyzer enables the company to analyze each retail/mortgage customers credit risk, based on both internal data and external data from credit bureaus, for: Decreasing high-risk credit (or pricing it correctly) and expanding low-risk credit to retail customers. Providing each customer with a credit risk score and an upper limit to which the company can provide credit without taking additional risks. Calculating the customers probability of defaulting (PD) complying with Basel II IRB requirements.

IT Integration

Statistics and econometric expertise (PD,LGD,EAD)

Xeligence Basel II Standardized Approach

enables the company to calculate the capital allocation based on Basel II standardized approach regulations and

Business consulting by Credit Risk experts

GSTAT Basel II GSTAT Professional Services from Experts in Credit Risk and Basel II
Deep understanding of Basel II regulations. Familiarity with world-class solutions in Credit Risk and Basel II issues. Extensive consulting and partnering experience with leading financial institutions in all matters of financial risk management. Preparation of Basel II-related gap analyses and work plans for financial institutions. Implementation of RAROC and VBM methodologies. Performing Basel II gap analysis. Performing Basel II QIS5 projects.

Experience in the development of credit scoring models for SME and Corporate customers, based on their financial statements, as well as Expert Questionnairebased models. Models for differential pricing of credit products based on customer's credit risk. Models for identifying potential customers for increased credit activity. Development of AMA statistical models of operational risk. Credit risk estimation for securitization purposes.

GSTAT Advanced IT Solutions Utilizing Various Architectures and Tools

Implementing Basel II Standardized Approach and FIRB Approach projects. Analysis of financial IT systems. Conditioning of data infrastructures for the development of statistical models and the implementation of automatic rating systems using various ETL tools. Building analysis and reporting credit risk environments using various BI tools.

G S TAT S t a t e - o f - t h e - A r t Econometric Models

Statistic-

Experience in the development of advanced statistical models (IRB) for the calculation/estimation of the credit risk components promoted by Basel II: PD, LGD, EAD, EL, and UEL. Experience in the development of dozens of credit risk rating models for retail customers (Application, Behavior and Collection Scoring models).

GSTAT Credit Risk and Basel II Solutions

Integration Complexity high
1st Generation 2nd Generation 3rd Generation Basel II IRB LGD/ EAD Basel II Standardized Approach

FAS114

Collection Scoring

Economic Capital

Basel II IRB PD

QIS4 Solvency

QIS5 Basel II Op. Risk Economic Capital Allocation

Behaviour Credit Scoring Credit Risk Economic Capital Allocation Gap Analysis Basel II SME & Corporate Rating

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Application Credit Scoring

Regulation Compliance

Business Benefits

GSTAT Headquarters: 38 Habarzel St. Bldg. B Tel Aviv 69710 Israel Tel : +972-3-746-7770 Fax: +972-3-746-7771 Email: marketing@g-stat.com