Credit risk mitigation

Optimization of risk weighted assets

  • Determination of initial risk weights, based on Basel standards
  • Compliance with Basel quantitative eligibility criteria
  • Reduction of exposures via credit risk mitigation techniques
  • Calculation of optimal risk weighted assets (RWA)

Optimization of provisions and impairments

  • Determination of initial asset classification, based on internal ratings
  • Full compliance with collateral eligibility criteria used by the local supervisory authority
  • Application of numerical algorithms for optimal allocation of collateral for efficient provisions and impairment
  • Calculation of efficient regulatory reserve based on constrained optimal collateral allocation