RAS will also help satisfy a number of the new regulatory reporting requirements mandated by Basel II. In addition, it will prove useful to firms for model and parameter validation purposes. As the EU moves toward public disclosure of internal risk information such as Probability of Default (PD) and Loss Given Default (LGD) in early 2009, RAS could prove especially useful.
RAS is an industry-led data consortium that enables participating banks to monitor and track key risk metrics, including: Risk Ratings (PD and LGD), Exposure at Default, Past-Due/Delinquencies, Non-Accruals/Impaired Assets, Charge-offs, Concentrations, and Other Risk Metrics. RAS also allows participating institutions to perform meaningful segmentation as required by Basel II (Corporate, Sovereign, Bank, and Specialized Lending) and in-depth analysis by: Industry, Geography, Deal Size, Borrower Sales Size, Collateral, Product, and Vintage/Age.
UniCredit Group served on the RAS European Steering Committee, helping to define the parameters the data consortium would collect and track over time. Henning Giesecke, chief risk officer of UniCredit Group and a member of its Management Committee, said, âWe joined RAS so we could benchmark UniCredit against our competitors. The competitorsâ data is presented as an average or composite, not specific to any company. It is helpful to all who participate because it provides us with an overall view of how an industry sector is performing. It is extremely important because a good benchmark helps institutions improve their systems and asset quality.â
John Shain, president, AFS, said, âWe have made a significant commitment to develop this important risk management tool, with meaningful input from the industry, and I expect that we will soon see strong growth in the number of EU participants in the database. In todayâs environment, it is critical that the banking industry employ the best risk metrics available.â
âUnder Basel II, EU firms will begin making additional public disclosures that are required by Pillar 3 in 2009, and RAS participants will have a valuable tool to help promote comparability across institutions,â said Kevin Blakely, president and CEO of RMA. âMore importantly, RAS data consortium participants will have a forum that will enable members to shape public disclosure standards going forward,â he further stated.