At Analytix Engine we have deep understanding of the approaches and regulatory requirements of the Capital Requirements Regulation (CRR ), EBA Guidelines on PD & LGD estimation and the PRAs various supervisory statements notably SS11/13 - Internal Ratings Based (IRB) approaches.
We specialise in Pillar 1 and Pillar 2 calculations and across the team have developed multiple A-IRB Pillar 1 models for unsecured and secured lending, including slotting model development for CRE portfolios. Our consultants have engaged with the regulators and understand what is required to develop models with the appropriate levels of documentation, data due diligence, methodology application and conservatism. We have also led operational risk modelling activities across smaller lenders, helping them design scenarios and harness expert knowledge into Monte Carlo simulations that can generate the potential 1 in 1000-year operational loss values.
Some of our partners have led Banking licence applications and remediation of Section 166 activity (mergers and amalgamations), providing key inputs into ICAAP development and preparation. For smaller regulated lenders the writing of ICAAPs can sometimes require external input and review and we have undertaken this activity for multiple Building Societies across the UK.
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