About Rand Merchant Bank (RMB)

RMB, a division of FirstRand Bank Limited, is one of the largest financial services groups, by market capitalization, in Africa. Through the FirstRand Group, RMB has access to a network of retail banks in 25 African countries, including representative offices and branches in the UK, India, China and the Middle East.

Realizing the IRB Approach

Implementing Internal PD und LGD Ratings

RMB implemented the IRB approach and therefore needed to meet the strict operational rules associated with the methodology. The risk models such as probability of default (PD) or loss given default (LGD) estimates were to be included in the calculation of capital requirements. More than 6,000 business rules had to be defined to incorporate these requirements.


Fulfilling Regulatory Requirements

The rating models did not meet auditing requirements from a process point of view. A software solution was required not only to fulfil these tasks but also to allow flexible adoption by business analysts and credit analysts via a web-based platform.


  • Implementation of a centralized and robust rating system
  • Deployment of all bank-internal probability of default and loss given default rating models
  • Auditable data repository that stores historical output data for portfolio modeling, stress testing and scenario analysis

Transparent Rating Models

Rand Merchant Bank trusted in ACTICO’s Credit Risk Management Platform to face the impending challenge. The solution is based on the business rules management system, ACTICO Rules and allows for rating models to be implemented graphically as logic trees and decision tables. Rating models can thus be implemented and maintained independently by the bank’s business analysts and do not require programming knowledge. The platform also ensures audit ready documentation, in-line with regulatory requirements.


Graphically Model Rating Models

Post implementation, business analysts are able to define, test and document rule models via the graphical user interface of ACTICO Rules. When models are released, credit analysts use the web-based work environment to assess credit ratings. The final credit risk metric includes data such as the ratings of external agencies as well as soft factors such as quality of company’s top management. The results are encapsulated in a service-oriented architecture for various applications.

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