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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