Guarantor rating within the Basel II framework
All issues relating to the management of Risk Weighted Assets (RWA) of the portfolio have become important and a matter of priority, in particular in light of the potential change within the institution to the use of internal models for the calculation of capital absorption.
- CLIENT - Banca Popolare dell’Emilia Romagna
- NEEDS - Quantification and measurement of credit risk attributable to guarantor counterparties belonging to the Private segment.
- SOLUTIONS - The information assets of EURISC – the CRIF Credit Reporting System - and the expertise, methodological support and consultancy of CRIF Credit Solutions for the development of rating models.
- RESULTS - Use of the guarantor rating model for regulatory purposes for the calculation of RWAs, and for management purposes in the lending and credit monitoring process.
"In this project it was important to take advantage of the CRIF EURISC information assets to strengthen the assessment”, explained Emanuele Cristini, “because, since the guarantors are not yet customers, it was not possible to use an internal or system performance model. The contribution of EURISC was very significant since this has an average weight of more than 40%, with an overall accuracy ratio of the final model of greater than 50%."