Internal Rating System

[ashu]

Hello,

I am in need of some help regarding internal rating system. As part of Basel II FIRB exercise, I am supposed to have this system for my bank. what I need is a step by step guide to understand the process to build an internal rating system for corporate and retail exposure.

thanks in advance

ashu

 

[David Harper CFA FRM]

Hi ashu,

Did you see the recently published Basel II Implementation. I have this on my to-do reading list, so i've only barely started. But it is the nearest (public item) that i've seen that speaks to the development of IRB (or what they call a Basel Internal Risk Rating System, IRRS).

David

 

[ashu]

Hi David,

I haven't got the chance to go through the book. I will try to get hold of the book,however, meanwhile from your experience or knowledge, if you could guide me about steps in Internal Rating system.

Can I request you to put some light on data requirements for internal rating system as well? Specifically I am trying to know what kind of data bank is required to keep in order to implement IR system and PD calculation.

Thanks again.

Ashu