PD and LGD Estimation
The IRB Approach in the Basel II/III capital accord gives the bank higher flexibility in terms of determination of credit risk capital requirements. If applied appropriately, the IRB approach leads to optimized capital requirements and thus to higher Return On Equity.
 Derive appropriate segmentation of the portfolio into risk classes.
 Data mining within each segment, as well as between related segments.
 Drafting of risk management methodologies under the Basel IRB framework.
 Calculation of risk weights using the new methodologies on sample, representative assets from the bank's portfolio.
 Selection of appropriate risk models with a view towards lower and more robust credit risk capital requirements.
Deliverable  Methodology 

Portfolio segmentation  Application of qualitative and quantitative criteria. Strong emphasis on the data availablity and the data quality. 
Rating / scoring system  Data mining activities like for example:

Probability of Default (PD) Estimation  One or a combination of methods like:

Loss Given Default (LGD) Estimation  One or a combination of methods like:

Calculations of credit risk weights  As early as possible during the project, we will evaluate several alternative models with respect to their:

Quality Assurance of Implementation  RiSKVBox includes a set of bestpractice templates for IRB implementation. These templates are adapted to the specific situation of the bank. 