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
- 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