Basel II Solutions
Having helped clients address Basel II issues since 2004 and working with many financial institutions, including 6 of the top 10 UK mortgage lenders, we are leading the way in Basel II solutions. Our staff combine in depth understanding of Basel II issues with a high level of analytical ability, giving us the flexibility to develop solutions to lenders' specific problems.
Our work in the financial services credit risk field has significantly expanded in recent years, where we have established ourselves as a market leader in providing solutions of substance which directly address our clients' problems. We are committed to working together with clients, delivering a bespoke product which, although it may involve highly technical analysis, is intuitive and clearly communicated.
New regulation regarding capital requirements, known as 'Basel II', came into force in the EU via the Capital Requirements Directive on 1 January 2007. The aim of the new regulation is that capital requirements should be reflective of risk, moving away from the 'one-size fits all' approach of the past. Whilst the exercise of calculating risk based capital requirements acceptable to the FSA is a challenging one, there is the possibility of significant capital savings for lenders. At Volterra we have been helping lenders work their way through the approach of Basel II since 2004.
Areas we have addressed for clients include estimation of the base risk parameters, Probability of Default (PD) and Loss Given Default (LGD), validation of lender's own models and the key area of stress testing. Basel II has brought a new element to credit risk analysis, with its emphasis on understanding how capital will be affected through the economic cycle. As our experience has grown, we have developed a market leading position in dealing with the difficult problems of integrating the impact of changes in the economy into credit risk assessment.
This expertise, combined with the ability to perform and assess the more traditional credit risk modelling problems, means we are well placed to help clients either by delivering complete end to end Basel solutions, or by stepping in to help at any stage.