British banking group Alliance & Leicester has contracted with WhiteLight, a division of California-based SymphonyRPM, for the supply of a retail credit risk management system in order to comply with the forthcoming Basel II regulations.
Under the contract WhiteLight will implement its Basel II retail credit risk model for regulatory capital calculations. The vendor will also develop additional modules that generate PD/LGD/EAD factors, support segmentation and calculate provisions.
The solution is based on the vendor's AnalyticServer platform, which is used to model complex financial instruments and portfolios and to perform advanced analysis and stress-testing.
WhiteLight says Alliance & Leicester will be able to self-support the solution and amend models in line with the latest Basel requirements.
Implementation is underway and due to be completed in three months.