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Credit Risk |
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We examine on and off-balance sheet credit exposures to borrowers and counterparties; we aggregate and assess portfolio risks
and examine the adequacy of loan loss reserves.
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We assess: large exposures and credit concentration risks; risks from securitzations and complex credit derivatives;
and counterparty risks, such as rollover and wrong-way risks.
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We assess and implement economic capital allocation programs.
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We help clients deal with specific issues related to the Basel II Supervisory Review, such as stress tests for the IRB Approach,
or examining whether Credit Risk Mitigation techniques increase legal, liquidity and documentation risks.
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We perform independent Counterparty Credit Risk (CCR) system audits, covering credit trading units and CCR control units to ensure CCR compliance with Basel II.
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