Customer
A number of banks in Europe, Africa and Middle East countries
Challenge
To comply with the requirements of regional and European regulators in terms of the IFRS9 financial reporting standard, the banks should develop models for assessing the borrowers' credit risk: default probability models, loss given default models and macroeconomic adjustment models.
Project Results
A developed stack of models estimating observed default rates (ODR) using a vintage approach, a number of implemented algorithms for fitting parametric curves to ODR (including Weibull-Pareto, Cox PH, Gen Gamma, RF, etc.). LGD models, automated backtesting procedures, and macroeconomic adjustment models (regression models and SVMs) have been developed. A series of successful external audits of Big-4 companies (EY, PWC) has been conducted.
A number of banks in Europe, Africa and Middle East countries
Challenge
To comply with the requirements of regional and European regulators in terms of the IFRS9 financial reporting standard, the banks should develop models for assessing the borrowers' credit risk: default probability models, loss given default models and macroeconomic adjustment models.
Project Results
A developed stack of models estimating observed default rates (ODR) using a vintage approach, a number of implemented algorithms for fitting parametric curves to ODR (including Weibull-Pareto, Cox PH, Gen Gamma, RF, etc.). LGD models, automated backtesting procedures, and macroeconomic adjustment models (regression models and SVMs) have been developed. A series of successful external audits of Big-4 companies (EY, PWC) has been conducted.