CREDIT RISK MODELLING TOOLKIT
The credit risk modelling toolkit provides a flexible platform to support your model development and validation teams (whether centralized or distributed across countries) to create compliant PD, LGD and EAD/CF models with IRB and IFRS9 standards and guidelines. The resulting model code can be version-controlled and implemented based on SAS Enterprise Miner technology without additional work or used to validate implementation. It is a transparent, customized environment that builds on decades of expertise and experience in modelling and SAS development accumulated at Finalyse.
How does Finalyse address your challenges?
Support for your development and validation of PD, LGD and EAD/CF models
Implementation of the model codes
Reduce model risk, cost and time of development and maintenance
Key Features
- Tailored to your modelling methodologies and business requirements.
- Common interpretation of methodology and guaranteed compliance.
- Same toolkit for all modellers and validators.
- Easy to learn and roll-out.
Zalán is a Principal Consultant in Credit Risk with extensive experience in the development & validation of statistical credit risk models. Since joining Finalyse, Zalán has successfully accomplished the validation of numerous IRB PD/LGD/EAD and IFRS 9 models and contributed to the implementation of Finalyse’s ECB Validation reporting toolkit. He has also concluded the development of numerous application/behavioural scorecards and IRB PD/LGD models, as well as designed and implemented Finalyse’s Credit Risk Modelling toolkit. Zalán is a PRMIA certified Professional Risk Manager.
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