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English
German
Regulatory
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BAWAG P.S.K.
Reference SaaS-Operations
Basel II Implementation and Credit Portfolio Model
With total assets of 56 billion EUR, the BAWAG P. S.K. Group is one of Austria’s largest banks and manages the country’s largest savings portfolio, totaling 18 billion EUR. In addition to numerous domestic holdings, it operates subsidiary banks in all of Austria’s eastern neighboring countries.
Results at a Glance
BAWAG P.S.K., in collaboration with zeb, implemented an integrated solution to meet Basel II requirements and manage credit risk. In addition to the regulatory capital calculation, a credit portfolio model was also introduced to determine Credit VaR.
Background & Objectives
BAWAG P.S.K. sought to implement the regulatory requirements of Basel II from both a functional and technical perspective while simultaneously establishing a solution for the economic management of credit risk. In addition to capital adequacy requirements, the focus was on calculating a credit VaR for the entire loan portfolio.
Objectives
- Calculation of capital requirements
- Support for standard and IRB approaches
- Calculation of Credit VaR
- Modeling of potential losses, including correlation effects
- Development of a modern credit risk management system
The solution: Integrated Regulatory and Credit Risk Management
BAWAG P.S.K. implemented the zeb.control.regulatory Basel and zeb.control.risk Credit modules. While the Basel module calculates capital requirements, the Credit module determines the Credit VaR for the entire loan portfolio. zeb supported the business and technical implementation of both solutions.
Key elements
- zeb.control.regulatory Basel
- zeb.control.risk Credit
- Unified Data Base
- Integrated Regulatory and Economic Perspectives
- Bank-Wide Risk Assessment
Implementation across the project modules
Results: Objectives and Impact
From Basel II to Integrated Credit Risk Management.
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REFERENCES
Selected References
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