Canadian bank CIBC has awarded a mandate to Standard & Poor’s Risk Solutions for the evaluation and enhancement of an Advanced Internal Ratings Based (A-IRB) system to aid the bank’s risk management under the upcoming Basel II accord. The initial scope of the project will focus on a review of CIBC’s current internal ratings system along with the bank’s proposed enhancements. “The aim is to assess how well the enhanced system addresses both the spirit and the letter of the Basel II advanced IRB approach, as interpreted by the Canadian regulator OSFI,” said Stuart Braman, managing director of Risk Solutions in New York. Risk Solutions analysts will review the bank’s written policies and procedures as well as loan files from each portfolio industry-sector. They will also interview key members of the credit and risk-management teams and analyze data from a segmentation and calibration perspective. The analysts’ findings will form the basis for a written report that will evaluate the degree to which CIBC’s current system, along with the recommended enhancements, addresses Basel II A-IRB requirements for documentation, transparency, consistency, and ability to replicate. A second phase of the project would include development of the recommended enhancements.
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