Advanced Internal Ratings-Based model development and validation services that enable financial institutions to accurately measure credit risk and optimize capital allocation.
Our IRB model development services provide financial institutions with sophisticated, regulatory-compliant models for measuring credit risk. We specialize in developing Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models that meet Basel III/IV requirements.
Our team combines deep statistical expertise with regulatory knowledge to deliver models that not only meet compliance requirements but also provide valuable insights for business decision-making and capital optimization.
Sophisticated statistical techniques and machine learning
Full Basel III/IV compliance and regulatory approval support
Comprehensive validation and performance testing
Continuous model performance monitoring and recalibration
Development of sophisticated PD models that accurately predict the likelihood of default across different customer segments and time horizons.
Advanced LGD models that estimate the percentage of exposure lost in the event of default, considering collateral and recovery processes.
Comprehensive EAD models that predict the outstanding exposure at the time of default for various credit products.
Independent model validation services to ensure model accuracy, stability, and regulatory compliance.
Comprehensive support for regulatory approval processes, including documentation and supervisor engagement.
Regulatory approval rate for IRB models developed by our team
Average discriminatory power (AUC) achieved across PD models
Average capital requirement reduction through advanced IRB approach
Reduction in model development time through proven methodologies
Comprehensive evaluation of available data quality, completeness, and regulatory requirements.
Development of model methodology and statistical approach tailored to your portfolio.
Model estimation, calibration, and performance testing using advanced statistical techniques.
Independent validation and testing to ensure model accuracy and regulatory compliance.
Comprehensive model documentation and regulatory submission preparation.
Model deployment and ongoing monitoring framework establishment.
Let our experts help you build sophisticated IRB models that optimize capital allocation and ensure regulatory compliance.