InteDelta, a risk management consultancy and Risk Enterprise, a consultancy and vendor of rating model technology, announce a partnership to provide banks with advisory and rating models for IFRS 9 and Basel compliance.

IFRS 9 requires banks to account for expected credit losses on their financial assets. To perform this calculation banks need to model the Probability of Default (PD) and Loss Given Default (LGD) for their borrwers and counterparties. Similar PD and LGD models are required for banks wishing to obtain the Advanced Internal Rating Based (A-IRB) status under Basel II.

InteDelta and Risk Enterprise provide banks with the necessary advisory and modelling capabilities to meet IFRS 9 and A-IRB requirements. The Risk Enterprise CRM platform is a cost-effective tool targeted at small and medium sized banks which do not have the resources and data to develop their own rating models. The platform can also be used by larger banks to benchmark their internal models.

The CRM platform enables users to enter data on each borrower or counterparty to instantly obtain the PD and LGD. The platform comes with pre-calculated parameters, for example for country and industry risks, meaning that users do not have to perform their own calibrations.

InteDelta: A risk management consultancy with a wide range of experience in advising institutions on all aspects of risk management including credit rating models.