One of the large credit card company had been making progress to be fully Basel compliant in the last few years. Their credit exposure consisted of a variety of individual and institutional products covering both US and many international markets. We have been a key partner in creating, implementing, and revising both Basel Pillar I and Pillar II credit risk models since the inception of their journey to be fully Basel compliant.
Objectives
- Develop the required Pillar 1 & Pillar 2 credit risk models
- Establish standard modeling procedures and result output templates to be used by all modelers
- Document key decision and approach rationales, modeling process, and results
- Address model validation, internal audit questions and requests
- Assist technology teams in model implementation, performance monitoring and tracking
- Assist with regulator exam preparation and address questions from regulators
Results
We were at the core of the team, working closely with clients to fulfill regulatory requirements:
Built three generations of Basel Pillar I credit risk models for all the individual and institutional portfolios
Prepared tens of thousands of page documentation, standardized and automated modeling codes, model output in well-organized templates
Created the first generation of Economic Capital models which uses Basel Pillar I model results as inputs
Created the first generation of Basel and EC capital stress testing models for individual and institutional portfolios
Our Client successfully entered external parallel run and became fully Basel compliant
