Bank LGD Modelling

Client Needs & Objectives

This mission demonstrates our expertise in modelling Basel parameters for credit risk. It included the design of a model for the LGD parameter on a “low default portfolios” as part of the A-IRB framework of Basel II.

  • Context: A 2-month project within the modelling team
  • Client: A Luxembourg banking institution

Our approach

For the review of the bank’s internal models for credit risk, CH&Co. was involved in :

  • Benchmarking market practices for LGD modelling on « Low default » portfolios
  • Reporting the latest development in the methodology for building LGD models
  • Preprocessing of source data (Moody’s Default and Recovery Database)
  • The design of the bank’s LGD model
  • Exhaustive and comprehensive documentation of the model

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After 13 years of a wonderful journey, alongside talented colleagues and valued clients, it is time for Chappuis Halder & Co. to begin a new adventure as Capgemini Invent.


As thinkers and doers, we have supported clients around the world and have consistently invested in expertise to provide thought leadership and deliver impactful projects related to Finance, Risk and Compliance ESG, Business development and Organization transformation, Data, Tech, and Cybersecurity.


Joining forces with Capgemini Invent presents an extraordinary opportunity to accelerate and go above and beyond as a global team to “Seize the full potential of financial services”.

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