PD & LGD models developments according to new EBA guidelines
Major banking group in Central and Eastern Europe
PD, LGD, ELBE
EBA methodologies and guidelines
Margin of Conservatism (MoC)
Subsidiaries of a big international bank were in the process of IRB application, facing a critical deadline when several redeveloped IRB models needed to be submitted to the regulator.
Finalyse has been selected to develop through-the-cycle PD and LGD models for the mortgage and personal loans portfolios. The developments come in line with the recent EBA-compliant modelling methodology recently issued by the group and include amongst others full-scale component level models (e.g., probability of cure, loss cure, loss non-cure models both for performing as well as for in-default portfolios) together with all applicable margins of conservatism (MoC A, B, C).
Benefits of the provided solution
Handling of data preparation steps and data quality check
Complete model development
Delivery of full model package documentation
Delivery of credit models codes and scripts
Development of LGD model with MoC and Downturn Components.
Support to the local modelling teams for execution / calibration / validation.
Key success factors
Regulatory expertise on EBA PD and LGD parameters estimation guidelines
Wide exposure on credit risk IRB model development projects
SAS base, Eguide, EMiner proficiency and extended coding skills