Our team of subject matter experts has rich experience in the development and validation of models applicable for the Advanced Approaches of Basel. Proposed to be applicable to U.S. Banking Organizations with $250 billion or more in consolidated total assets or $10 billion or more in consolidated total on-balance sheet foreign exposure, compliance requires significant overhaul of the models. We have the experience of having developed PD, LGD and EAD models at large banks the world over. Our general project approach is to develop strategy packs that articulate how the compliance is to be achieved for specific portfolios. Typical set of activities performed are the following:

  • Analyze the extent to which it currently meets the proposed new regulatory regime
  • Develop and present the ideal Model Landscape, which determines:
    • The number and types of models to be developed based on the characteristics of the bank portfolio, and
    • The model development methodology and strategy for each credit model
  • Define the IRB Action Plan and associated deliverables
  • Evaluate gaps regarding data availability, data quality, management process and system capability