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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