Challenges
In a logic of continuous improvement, this project aims to perform statistical/technical studies on the Loss Given Default (LGD) in order to extinguish the various recommendations (obligations) of the ACPR/BCE. The production of new modeling databases is necessary as well as reports and statistical/technical studies in the framework of the Backtesting of internal models estimating the loss. The reconstruction of “new” statistical models is essential.
Double business and technical skills engaged
Consortia has mobilized the necessary skills to support the team responsible for the modeling of the Basel parameters (PD, EAD, LGD), of the scoring center, in the evolution of the LGD models in response to the ACPR and ECB audits, as well as the new expectations of the prudential authorities:
- risk analysis
- modeling
- business knowledge in the Basel regulations
- mastery of SAS
Analysis and exploratory studies
- Create the modeling bases (starting point of the LGD model redesign)
- Identify different anomalies, new technical approaches (e.g. studies on flow or stock modeling)
Realization of the modeling steps
- Manipulate and transform data (SAS, Python), Check performance indicators
- Develop quantitative tools to arbitrate the choice of variables
- Produce indicators to justify modeling choices
Backtesting of LGD models
- Creation of backtesting bases and application of the models (application portfolio)
- Analysis of performance indicators and writing of reports
Accompanying the validation process
Defend the work done in front of the model validation bodies
- Respond to questions from the internal inspection through ad hoc analyses
- Delivering audit trails and precise documentation in accordance with regulatory requirements
- Accompany the production launch of the LGD models built
- Carry out BackTesting of LGD models
7
years of support on basel parameters
3
LGD models developed
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