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Credit Risk Management:
Loss-Given-Default Case Study

 

Putting a Basel-compliant, usable, auditable, and agile system in place helped the banking institution profiled in this Case Study reduce its impairment expense by more than 70% year-over-year, and total impaired assets fell nearly 30% in the same period. 

The highlights:

  1. Move quantitative risk models quickly through QA and into production
  2. Create a full audit trail of credit risk decisions, including override reasoning
  3. Create a common data model from which the aggregate LGD position could be managed and reported

In this particular case, the system manages loss-given-default, or LGD; it can also handle probability-of-default (PD) and exposure-at-default (EAD) management.

For many banks, the system can be fully operational in eight weeks or less, and it does not require the bank to change its way of doing business.

HQ and branches

Quickly deploy quantitative models
to production web applications,
and get them in the hands of
people who need them while
they can still create a
competitive advantage.


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