Building Risk Models

Client Needs & Objectives

This project reflects our expertise in building risk and financial models. This project, both strategic and long-term, also involved adapting the models built to meet the IFRS 9 regulation requirements.

Context: Continuous 2.5-year mission, with a task force within the Group’s Risk Modelling Team (4 people full-time over the 2.5-year period)

Client: Top French banking institution

Our approach

As part of the strategic transition to advanced risk evaluation methods, CH&Co. was chosen to, exclusively:

  • Build Basel III credit models (PD, LGD, CCF)
  • Define the associated backtesting methodologies
  • Define the stress testing methodologies for PD and LGD parameters
  • Document all models
  • Adapt / Correct / Clean up the data sources
  • Offer modelling solutions for the «Low Default » portfolios, simulate impacts
  • Meet the recommendation of the Head of Control and Audit of the Group and the European Regulator

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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”.

Our journey continues as