MOTORES DE CALCULO BASILEA II

Pentaquark has extensive experience in the banking sector and complex financial products. For this reason, one of the most important financial institutions in the world relied on our services to undertake the readjustment of its business structure in accordance with the regulatory requirements of Basel II. The project had other setbacks, such as the methodological difficulties posed by operating with large volumes of data, the execution of calculations efficiently and the lack of training of personnel in the handling and management of Business Intelligence tools.

The design and implementation of the solution developed by Pentaquark was carried out with a departmental vision to meet the new regulatory requirements and the entity's risk needs (SPVs, reports of press, etc ...). Pentaquark offered functional coverage throughout the project in all Basel II areas and the calculation models (Standard, IRB, etc…) were optimized. Finally, an automated tracking and loading system was implemented. The culmination of the project was a complete success, providing our client with the necessary capabilities to carry out its activity within the new regulatory framework. The entity has an updated calculation engine that complies with the requirements of Basel II and BDE, being able to compute the regulatory capital parameters and obtain the PD, LGD and EAD ratios, in addition to streamlining the measurement of risks in the issuance of securitisations. Additionally, the bank is capable of carrying out the measurement of the entity's own systems, monitoring the models and scoring and, finally, obtaining the retroactive contrast (backtesting).