In making the application IRBA, banks must make arrangements in various aspects, especially the infrastructure, policies, and methodologies. One aspect of the most severe faced by banks in general are concerned with aspects of IT infrastructure availability and quality of data.
As we all know, that in risk management, data availability is a very critical element. Given that, should the bank can be proactive in developing inftastrukturnya to ensure the availability of data to conduct a comprehensive implementation of IRBA. The need for such data is historical data. Just as for the calculation of PD that requires minilmal 5 years and LGD data that requires a minimum of 7 years of data included therein is a writeoff and collateral data. This is not an easy task for banks. Infrastructure development should be done gradually by the bank.
Another aspect of methodological aspects, including the measurement of risk in the Risk Rating and Scoring, Risk-Based Pricing and the calculation of RAROC (Risk Adjusted Return On Capital). And aspects of risk management policies in order to establish a bank strategy, risk appetite, and so forth.
In the end, all efforts have been made by banks in implementing the IRBA is expected to lower the minimum obligations of banks in providing capital, or can be called with the incentive for banks. Surely the rest of the funds contained in the rest of the bank capital can be used to support business activities of other banks.
Asset Classification
In the IRBA, banks have to divide the bill (exposure) into some kind of bill, as stipulated in the Basel II document, both on-balance sheet and off-balance sheet, namely:
a. Sovereign
b. Public Sector Entity (defined by regulators)
c. Multilateral Development Bank (set by the regulator)
d. Bank
e. Securities Firm
f. Corporate
g. Retail
h. Retail exposures secured residential property
i. Exposures secured by commercial real estate
j. Exposure is past due
k. Exposure to a higher risk (determined by the regulator)
l. Eksposut / other assets
Internal Rating System
Overview of Internal Rating System:
a. Internal Rating System (IRS) to map the level of risk customers into a particular grade, in the sense that the credit risk assessment of quantitative and qualitative descriptive rating is expressed in a particular risk.
b. IRS as tools / systems to identify, measure, monitor, and control credit risk, both at individual and portfolio level.
c. IR is an important infrastructure in the development of Credit Risk Management (in accordance with the requirements of Basel II)
Development Program Internal Rating System:
a. Rating development, including model and methodology, rating scale, policies and procedures, review and validation.
b. Data Management & IT, including data collection, MIS, and the IRS application.
c. Communication and Socialization, include training, customization work culture, and komnunikasi to external parties.
d. Linkages with business processes, including changes in SOPs and testing.
Rating application that has been used must get validation at least for 1 year. The tests are used to the changes / improvements measurement model, adjusted for risk appetite owned bank.
As we all know, that in risk management, data availability is a very critical element. Given that, should the bank can be proactive in developing inftastrukturnya to ensure the availability of data to conduct a comprehensive implementation of IRBA. The need for such data is historical data. Just as for the calculation of PD that requires minilmal 5 years and LGD data that requires a minimum of 7 years of data included therein is a writeoff and collateral data. This is not an easy task for banks. Infrastructure development should be done gradually by the bank.
Another aspect of methodological aspects, including the measurement of risk in the Risk Rating and Scoring, Risk-Based Pricing and the calculation of RAROC (Risk Adjusted Return On Capital). And aspects of risk management policies in order to establish a bank strategy, risk appetite, and so forth.
In the end, all efforts have been made by banks in implementing the IRBA is expected to lower the minimum obligations of banks in providing capital, or can be called with the incentive for banks. Surely the rest of the funds contained in the rest of the bank capital can be used to support business activities of other banks.
Asset Classification
In the IRBA, banks have to divide the bill (exposure) into some kind of bill, as stipulated in the Basel II document, both on-balance sheet and off-balance sheet, namely:
a. Sovereign
b. Public Sector Entity (defined by regulators)
c. Multilateral Development Bank (set by the regulator)
d. Bank
e. Securities Firm
f. Corporate
g. Retail
h. Retail exposures secured residential property
i. Exposures secured by commercial real estate
j. Exposure is past due
k. Exposure to a higher risk (determined by the regulator)
l. Eksposut / other assets
Internal Rating System
Overview of Internal Rating System:
a. Internal Rating System (IRS) to map the level of risk customers into a particular grade, in the sense that the credit risk assessment of quantitative and qualitative descriptive rating is expressed in a particular risk.
b. IRS as tools / systems to identify, measure, monitor, and control credit risk, both at individual and portfolio level.
c. IR is an important infrastructure in the development of Credit Risk Management (in accordance with the requirements of Basel II)
Development Program Internal Rating System:
a. Rating development, including model and methodology, rating scale, policies and procedures, review and validation.
b. Data Management & IT, including data collection, MIS, and the IRS application.
c. Communication and Socialization, include training, customization work culture, and komnunikasi to external parties.
d. Linkages with business processes, including changes in SOPs and testing.
Rating application that has been used must get validation at least for 1 year. The tests are used to the changes / improvements measurement model, adjusted for risk appetite owned bank.
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