A fresh take on risk and valuation

IRB Methodology development

Client

Big multinational bank

Keywords

Context

In order to comply with the upcoming regulations, a project was initiated to investigate possible improvements of modelling methodology standards with regard to PD, EAD and LGD. The identification of the improvements was based on findings by the regulator during the approval process, recommendations based on MV validations, findings following the TRIM on-site and the new EBA Guidelines. 

Furthermore, the client wanted to update the monitoring framework, to align with the new methodologies and ensure a more efficient and streamlined monitoring of all models. As a result of all the improvements and adjustments, the model documentation (templates) needed to be updated.

Benefits of the provided solution

Key success factors