A fresh take on risk and valuation

PD & LGD models developments according to new EBA guidelines


Major banking group in Central and Eastern Europe



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).

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