LGD and CCF for Banks using the Foundation IRB Approach

Under the German Solvency Regulation, it is not only banks using the foundation IRB approach that are obliged to collect detailed information about the course of loan defaults. Section 121(1), sentence 2, also specifies an obligation to calculate realised losses given default (LGD) and credit conversion factors (CCF) as well as comparisons of them with the supervisory values and factors.

A proven approach to possible solutions. Lean implementation. 

The SKS Group has already been able to provide valuable support, in several projects for large German banks, in the development of methods, processes and systems related to the implementation of the Advanced IRB approach, right up to the successful certification by BaFin. On this basis, we have developed a consolidated approach to possible solutions for the implementation of the above-mentioned Section 121 of the "SolvV".

Our approach not only significantly reduces the risk but also the outlay for such a project in terms of capacities, time and money.