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BPER Banca Group Attains Internal Model Authorization from ECB leveraging Prometeia Credit Risk Support

Prometeia, the global leader in Risk Management consulting and software solutions, is pleased to have supported BPER Banca Group, among the top 5 largest banking groups in Italy, in the path to receive authorization from the European Central Bank to use their own internal models (AIRB) for the purpose of measuring capital requirements for credit risk.

The scope of application of AIRB models covers the Corporate and Retail portfolios and extends to the Group's commercial banks: BPER Bank, Banco di Sardegna and Banca di Sassari. The Group’s capital ratios are expected to benefit significantly from the application of these models beginning June 2016.

The authorization to use AIRB models confirms the quality and integrity of the model designs as well as the thorough collaboration with supervisory authorities.

Prometeia is pleased to have collaborated with BPER in recent years in the following capacity:

  • The complete development of PD models on distinct segments and LGD on the entire perimeter;
  • Project governance, advisory consultation, and operational project management;
  • Production of the application package for validation by the ECB;
  • Alignment of the credit processes;
  • Support for the interactions with the Supervisory Board (SSM/JST) during inspections for pre-validation;
  • Setup of validation unit.

The confirmation is the first to be made in Italy under the Single Supervisory Mechanism.
“The approval represents a tremendous achievement for our colleagues both at BPER and within Prometeia, who have strived over the last three years to attain this affirmation from the ECB”, says Lorenzo Bocchi, Director at Prometeia. “The transition from standardized to internal ratings based approach is a long journey for banks, but they will reap the benefits of enhanced capital management that is consistent with a holistic ERM approach.”

ERMAS, the new generation of value-centric Risk solutions, is used by over 200 clients in more than 20 different countries to support their critical decisions and to comply with local and international regulatory requirements.