Dutch banking group ABN Amro has contracted with Paris-based GL Trade for the supply and implementation of the Fermat risk management package which it will use for calculating global credit risk capital requirements under the Basel II accord.
The technology, which will be rolled out across the bank's global business units via five business hubs, will calculate a consolidated figure to support regulatory reporting. In addition to a credit risk calculation requirement module, the package includes stress testing, back-testing and large exposure disclosure modules.
The system will be implemented by GL Trade along with a consulting company and is expected to go live in early 2006.
Patrice de Berranger, head of normative risk business line at GL Trade, says the Fermat suite of solutions now has more than 20 Basel II reference customers.