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
