Credit Risk Modelling
Specialist quantitative and modelling expertise for credit risk programmes.
We supply specialist credit risk modellers, validators and SMEs for banks, building societies and other lending businesses. Our consultants bring deep technical expertise in model development and validation, combined with an understanding of the regulatory requirements that govern credit risk in the UK and Europe.
From IFRS 9 expected loss modelling to stress testing and model risk management, we have the specialists to accelerate your programme delivery.
Programme areas
- IFRS 9 expected loss model development
- PD, LGD and EAD model build and validation
- Stress testing (ICAAP, PRA scenarios)
- Model risk management framework design
- Model documentation and regulatory submission support
- IRB model development and maintenance
- Scorecard development and validation
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