E.Sun Bank, a major local commercial bank in Taiwan, and Standard & Poor’s Risk Solutions, the risk management services arm of Standard & Poor’s, has announced the successful completion of a significant risk management project to develop a residential mortgage workout loss-given-default (LGD) model for E.Sun Bank. The LGD model was developed for regulatory compliance and internal purposes to better manage and more accurately price credit risks. The project included enhancing internal policies related to risk governance and internal audit framework.
“In addition to developing risk components in line with the Basel II Accord, E.Sun Bank took the opportunity to enhance bank-wide risk culture and structure in a number of areas including risk governance, data quality management and transparent documentation,” says Yang Heng-Hwa, chief risk officer of risk management committee, E.Sun Bank. “We received a significant amount of knowledge transfer through sessions conducted by Standard & Poor’s Risk Solutions regarding robust credit risk management under Basel II Accord, which will lead to significant long-term benefits for E. Sun Bank.”
Standard & Poor’s Risk Solutions worked with E.Sun Bank’s risk management, credit modeling and audit teams to develop the bank’s LGD retail model. Standard & Poor’s provided guidance on data quality management, development and validation framework of the bank’s LGD model for retail exposure against S&P’s workout LGD templates. S&P also provided training on major Basel II issues.
“Know-how transfer plays a key role in any Standard & Poor’s Risk Solutions assignment, and E. Sun Bank committed substantial resources to this learning process, including involving all relevant departments in interactive project workshops” says Kitae Yang, associate director and member of S&P Risk Solutions’ Global Analytic Group.
“During this project, roles and responsibilities of individual units at E.Sun Bank were well defined and E-Sun has told us the training significantly increased understanding of risk governance among senior management and throughout the organization,” says Clemens Thym, vice president, head of S&P Risk Solutions Asia Pacific.
D.C.