Rand Merchant Bank (RMB), a division of FirstRand Bank Limited, is a
leading African investment bank and part of one of the largest financial
services groups in Africa. In 2007, RMB implemented the
IRB approach and therefore needed to meet these strict operational
rules. The risk models like probability of default or loss estimates
should be provided in the calculation of capital requirements. But
despite the outstanding quality of RMB’s rating models, the rating
models did not meet the requirements of up-to-date auditing as far as
processes were concerned. A software solution should be found that not
only fulfills these tasks but is also flexibly adaptable by business
analysts and can be used by credit analysts via a web-based platform.
Merchant Bank trusted in ACTICO's Credit Risk Management Platform to face
the challenge. The underlying business rules technology ACTICO Rules offers a unique intuitive approach for modeling rules. RMB started with
the most important ratings for the evaluation of credit risks: the
probability of default (PD) and the loss given default (LGD). To
represent these rating services, 6,000 rules had to be defined. Business
analysts are able to define, test and document rule models via the
graphical user interface. When rule models are released credit analysts
use the web-based work environment for credit ratings. The final credit
risk metric includes hard facts such as the ratings of external rating agencies as well as soft facts, e.g. the evaluation of a company by the bank‘s analyst. The bank's results are provided as encapsulated services in a service-oriented architecture for various applications.
Implementation of a centralized and robust rating system
Deployment of all bank-internal probability of default and loss given default rating models
Auditable data repository that stores historical output data for portfolio modeling, stress testing and scenario analysis
Seamless integration into existing system and process landscape
"The implementation of the rating models in a robust technical environment has had a very positive impact on the way credit rating is done, both from a user perspective and also from a model development perspective. The system has also made it possible to meet our regulatory obligations at an unprecedented level."
Justus Ortlepp, Business Analyst, Rand Merchant Bank
Read our Success Story to learn more about software-based credit risk rating at RMB.