UniCredit Group has joined the Risk Analysis Service (RAS), a credit risk benchmarking service developed jointly by RMA and AFS that is designed to enhance risk management practices.
RAS is unique because it allows financial institutions to measure their respective risk profiles in defined portfolio segments relative to industry peers. Based on quarterly data from participating banks, RAS provides a timely metric that enables individual banks to more closely monitor risk exposures and thereby improve risk measurement and management practices.
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 Specialised 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.
“We joined RAS so we could benchmark UniCredit against our competitors. The competitors 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,” says Henning Giesecke, chief risk officer of UniCredit Group and a member of its Management Committee.
“We 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 todays environment, it is critical that the banking industry employ the best risk metrics available,” says John Shain, president, AFS.
“Under 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. More importantly, RAS data consortium participants will have a forum that will enable members to shape public disclosure standards going forward,” adds Kevin Blakely, president and CEO, RMA.