Rabobank is to use the Ubitrade-Fermat Basel II calculation engine for the monitoring of credit risk under the forthcoming capital accord.
The software - sold in the Dutch market by Ubitrade under a 2001 deal with fellow French risk management software house Fermat - is now under implementation and is expected to be in production by the second quarter of 2004. The calculation engine will be interfaced with the bank's internal banking data warehouse.
Ben Vergouw, SVP program manager BIS II/economic capital at Rabobank, says the package is one of the few on the market which is able to cope with advanced methods and economic capital.
"The ability of the product to be customised easily to the bank's internal requirements as well as its smart credit risk mitigation techniques have made the difference," he adds.
The licensing deal also includes credit risk limits monitoring (Ubitrade-Fermat GEM) and fair value/amortised cost calculation under IAS39&32 rules(Ubitrade-Fermat IAS/IFRS).