Risk technology vendor Scorex has developed its Stratagem software to enable financial firms to meet the Advanced IRB Approach under the Basel II Accord.
Stratagem uses a SQL database to process and retain all the data items required to implement the IRB Advanced Approach and can calculate applicant and behavioural scores, categorising default risks into risk grades. The product then applies its regulatory capital engine to use the retained data and default risk grades to calculate the minimum capital requirements.
Keith Hale, associate director, Scorex says the Basel Accord requires sophisticated modelling processes to be implemented and firms can find this a daunting and time-consuming task.
"By implementing Stratagem, financial institutions can easily and accurately calculate capital requirements – meaning they can concentrate on obtaining regulatory compliance, integrating the IRB Advanced Approach within risk and finance and manage the implementation projects," says Hale.
The vendor says the software can be upgraded to capture further data items and adapt capital requirement calculations prior to the final Accord agreement.