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The Risk Consulting team advises financial players on credit modelling & data management.
We support banks and financial institutions in the following areas:
EthiFinance consultants propose the most suitable approach to define KRIs, providing the most appropriate assessments and recommendations regarding business allocation, portfolio management framework, risk and human resources
With a in-depth understanding of regulatory requirements and expertise in statistics, our consultants provide clients with methodological and implementation supports for modelling, stress testing analysis, model validation as well as risk monitoring and maintenance reporting
We support our clients on the ESG risk integration roadmap, providing our knowledge of the methodology and regulations in ESG and credit risk quantification as well as in the ESG database.
A leading European bank, offering its corporate, institutional and individual customers a wide range of value-added advisory services and financial solutions.
Modelling of the PD PRO/SCI Basel retail parameter
To propose a relevant, simplified, sustainable and fully compliant credit risk model.
The private bank of a major European bank.
As part of the monitoring of econometric models, the implementation of backtests of all credit risk models is a regulatory requirement. In particular, the PD model for private banking is a so-called expert model due to the very low statistical and quantitative involvement in its construction. Consequently, setting up a quantitative backtest was a challenge.
To meet a regulatory requirement. At the time of this backtest, we also had a second objective, which was to put in place new statistical monitoring indicators in line with regulatory expectations.
At the end of the backtest, the analyses confirmed that the PD values already implemented were conservative. As a result, no real action was required. However, a new model was being developed for this scope.
Carrying out this backtesting exercise allowed us to provide the modelling teams with a backtesting report in line with the regulator’s expectations. In addition, the teams have benefited from automated programmes that can be used on other subjects, thereby increasing productivity.
