Basel II

"NGR Consulting played a pivotal role in developing a Basel2 compliant extract for a key system in our Private Client business. We found NGR Consulting to be very professional and pro-active in carrying out the required tasks - and always ready to extend their scope to be able to deliver the required solution effectively."

James Stewart, Basel2 Project Manager
Vice President - Finance, BU Asia
ABN AMRO


Context

Our client, ABN AMRO Bank, had to comply with Pillar 1, Pillar 2 and Pillar 3 of the Basel II Accord. To do so, the Advanced Internal Rating Based Approach has been selected for measuring Credit Risk, as it leads to more accurate estimates for capital requirement although being the most difficult to implement. In fact, Credit Risk Weighted Assets are no longer derived directly from the balance sheet per chart of account line, but are now a continuous function based on a system of internal ratings.
The project required a blend of skills, from functional and risk knowledge to the comprehension of the IT architecture and of the informational flows.


NGR Consulting role

ABN AMRO Bank requested NGR Consulting to assist them on the Basel II implementation at a group level for the whole sourcing and to support local project management. In order to meet this need, we have involved our consultants having expertise on risk and systems, more specifically the ones active in the areas of Enterprise Risk Management & Compliance and ERP implementation, whose mission has been to:
• Analyze the specific business requirements of each branch also in relation to the core-banking system functionalities
• Lead and realize the technical data extraction for all sites
• Manage and organize the Basel II progress for all the private client’s sites world-wide.


Methodology

NGR Suite, our methodology and framework support, has benefited our NGR Consultants, who could quickly respond to client’s queries with respect to their core-banking system functionalities.


Results

NGR Consulting has been involved in the project for more than two years and delivered the analysis and the design of a unique solution for all the ABN AMRO private client entities, meeting the project objectives, the functional requirements and client’s expectations. In particular, we have supported the data sourcing from the informational systems to the Central Basel II Data Warehouse, which aimed at feeding the Risk Weighted Assets calculation engine and at performing, among other functionalities, management reporting, risk analysis, and rating model validation.