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About Moody's KMV |
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Client Spotlight |
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"Our relationship with Moody's KMV has brought significant improvements to our credit risk process, dramatically increasing the number of credit risk reports presented to our top management, business units and regulators. These reports are instrumental for strategic decisions and credit risk management within the business units."
- Mauro Senati
Banca Intesa |
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Learn More |
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Contact Us today to see why Moody's KMV is the right choice.
For more information about Moody's Investors Service, visit the Moody's Web site. |
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In 2001, Italy's largest bank realized the need to sharpen its focus on credit risk management. Driven by Basel II and the desire to achieve Advanced Internal Ratings-Based compliance, the bank also wanted to be in line with international best practices for portfolio modeling and calculating economic capital.
After searching the market for advanced solutions to measure counterparty credit risk, Banca Intesa turned to Moody's KMV's EDF™ (Expected Default Frequency) credit measures. "Relying solely on traditional balance sheet analysis - without internal quantitative tools - was insufficient" said Mauro Senati, Risk Management, Head of Corporate and Financial Institutions for Banca Intesa. "We needed probabilities of default and selected EDF credit measures for public and private firms, because of their accuracy and predictive power."
In 2002, the bank's risk management group started a project to develop portfolio management techniques, adopting Moody's KMV Portfolio Manager? for economic capital calculations, enabling the group to compare economic capital and Basel II estimates. Analysis began with their foreign branch portfolios, eventually capturing the entire corporate book by 2004. An initiative is now underway to extend analysis to the small and medium-sized enterprises and retail portfolios. Portfolio Manager also supports Basel Pillar II reporting requirements.
"Each quarter, our senior management and financial risk committee receive Basel II and Portfolio Manager results," said Mauro. "These reports illustrate that economic capital is a better approach to price exposure risk than regulatory capital."
This led risk management and the corporate division to conduct a project using Portfolio Manager, in conjunction with DealAnalyzer®, for origination purposes. The platform allows for a dynamic approach to structuring and pricing deals in a correlated manner relative to the bank's portfolio.
Seeking compliance under IAS39 accounting standards for European banks, Banca Intesa subscribed to CreditMark® to calculate exposure fair values of their portfolio on a mark-to-market basis for balance sheet reporting.
*Banca Intesa merged with Sanpaolo IMI in 2008 and is now Intesa Sanpaolo. |
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