Deployment of the Basel III methodology for Credit Risk Parameters

Client Needs & Objectives

Our client wanted to actualize their credit risk parameters in order to meet the new Basel III regulation requirements.

The stakes of the mission were to:

  • Define the methodology of PD, LGD and CCF models for both corporate and financial institutions portfolios
  • Simulate impacts on RWA and required capital
  • Define a back testing methodology for these models

Our approach

  • Capitalize on our best practices knowledge and on feedbacks from ACP/EBA for models already implemented to guarantee the conformity of the models with regulators expectancies
  • Capitalize on our strong expertise in risk management and our knowledge of different portfolios as well as market specificities to optimize model in order to reflect the most realistic and precise vision

Client Benefits & Main Results

  • Accelerate the maturity level of the bank

  • Guarantee model conformity and accelerate internal implementation

  • Optimize regulatory capital

  • Improve internal systems for credit risk management

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JOINING FORCES TO SHAPE A BOLDER FUTURE FOR OUR CLIENTS

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