Algorithmics has announced that Nedbank has received Advanced IRB approval for credit risk capital requirements under Basel II from the South African Reserve Bank (SARB).
This makes Nedbank one of only three banks in South Africa to be granted A-IRB approval for credit risk, the first banks to be granted this status by the SARB.
Nedbank has been working in partnership with Algorithmics to implement a comprehensive, integrated market and credit risk management infrastructure to support informed risk decision making.
Algorithmics, the world's leading provider of enterprise risk solutions, has been the key strategic partner for Nedbank’s Basel II programme, providing Nedbank with a suite of products, including Algo Credit Regulatory Capital, Algo Credit Administrator and Algo Credit Limits.
Commenting on the A-IRB approval, Grant Kelly, Head, Basel II Program, Nedbank Corporate, says: “We are delighted that SARB has granted Nedbank A-IRB approval. Nedbank now formally uses A-IRB for regulatory capital requirements following the parallel process started in 2007. Our overall Basel II programme has been a long journey, but one that was helped by Algorithmics’ continued support.
“Ultimately, our goal is to measure, understand and manage Nedbank’s risk, to enable us to make informed and accurate business decisions on a holistic basis. Our choice of Algorithmics, based on their international experience of implementing successful Basel II programmes, has proved to be a good one.”
Grant Kelly is speaking on Leveraging an Integrated Platform for Credit and Capital Management at the Algorithmics Credit and Capital Conference – Basel and beyond: tackling today’s complex credit environment – in London on 10 April 2008.
Ben De Prisco, senior vice-president: Research & Financial Engineering and Capital Management Solutions Algorithmics, adds: “We congratulate Nedbank, on its latest milestone of getting Advanced IRB approval. This is recognition of Nedbank’s leading position in the South African market in terms of risk management.”