Credit Risk Management

Credit Risk Management Consulting covers the entire spectrum, including risk identification through diagnostic review analysis, risk assessment through corporate and retail scoring model development, risk measurement through estimation of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and Credit VaR models, as well as overall risk management, including collateral management, risk-based pricing, and reporting frameworks.

Governance, Risk and Compliance: Review risk management structure, policies and infrastructure
Model Development and Validation
- Corporate rating model
- Retail scoring model
- Model Validation Framework
Credit VaR Estimation Framework
- PD, LGD and EAD Estimation
- Credit VaR Estimation

Risk Monitoring and Reporting
- Design reporting templates
- Define reporting workflows
Risk-Based Decision Making
- Design risk-based pricing framework
- Design risk-based portfolio strategy