Credit risk transformation.
“Transformation of the credit risk function of a Second Tier bank with the aim to operate at a Basel II advanced standard.
The client required the establishment of an end-to-end process of building AIRB level models, processes, methodology and monitoring frameworks for retail and non-retail PD and LGD.”
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CLIENT PROBLEM
Transformation of the credit risk function of a Second Tier bank with the aim to operate at a Basel II advanced standard.
The client required the establishment of an end-to-end process of building AIRB level models, processes, methodology and monitoring frameworks for retail and non-retail PD and LGD.
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SOLUTION
QRisk initially worked side by side with the bank to help define the problem. The solution was a full end-to-end uplift of the credit risk function in the following areas; modelling, process and policy, data gathering requirements and template design, staff training, project planning and management.
Credit rating models delivered for CRE Investor and Developers, SME, Middle Market, Home Lending, Personal Loans and Secured Line of Credits.
LGD models delivered for both corporate and retail segments.
A manual data gathering framework (including delivery of web-enabled tool) for geographically distributed collection of data used throughout the project.
Policy assistance, including new Masterscale and customer Grouping framework for corporate entities.
Model Validation Methodology and Process.
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CONCLUSION
The modelling data environment is now a well established and governed BAU platform for model development, validation and monitoring across the organisation.
Reduction in model lead time by 25% - 40% (3-6 months) depending on the model and activity (build, validation).
Enterprise data is now discoverable, accessible, standardised and usable for multiple teams to share.
More efficient processes and reducing the operational risk of data errors.
The project turnaround successfully delivered the required functionality within the initial project budget.