With proven years of experience in the effective implementation of quantitative models, Business & Decision can assist you in the development, recalibration and validation of credit risk models.
With respect to compliance to Basel II, many banks chose to develop their own estimates of credit risk parameters: Probability of Default, Loss Given default, Exposure at Default.
In the area of Economic Capital the same parameters will be assessed in a slightly different way because of different definitions, more importantly other essential parameters need to be assessed: the correlations.
The first objective was often to take advantage of the risk-based approach of Basel II and lower the level of regulatory capital for sound portfolios. Beside that first objective, credit modeling constitutes the first step towards a more integrated risk management framework creating value in all levels of the organization. With proven years of experience in the effective implementation of quantitative models, our consultants will help you in the development, recalibration and validation of models.
Furthermore, Business & Decision will integrate the models inside the business units value chain and in the credit portfolio management tool, for ex-ante and ex-post portfolio optimization.