Axtria Insights

Axtria Insights

CASE STUDY
Validated Basel and Risk Models for a Large US Credit Card Issuer

Situation

Client wants an SME to validate various Basel and risk models as part of OCC and Basel guidelines



Approach

The Approach followed was -

  • Models involved: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), Credit Risk Economic Capital and Operational Risk Economic models
  • Axtria assigned a team of validators for each model with the below profiles -

validated basil risk models for credit card issuer

The overall validation process comprised on the below phases -

validated basil risk models for credit card issuer



Results

Below were the improvement achieved -

  • Business use review alignment with business usage
  • Technical accuracy and predictive power review
  • Regeneration of results
  • Benchmarking of results