India's largest platform for AI & Analytics leaders, professionals & aspirants

Sign in

India's largest platform for AI & Analytics leaders, professionals & aspirants

3AI Digital Library

Basel II Credit Risk Modeling

August 17, 2020

A diversified global financial services company

Problem Statement

  • Compliance with Basel II regulations for Global Credit Card portfolio
  • Need consolidated exposure at the parent level for the segments–wholesale and retail
  • Existence of several versions of single model with virtually no documentation

Analytics Led Approach

  • Relevant data elements merged to create single version of truth for customer’s credit exposure
  • Multiple validation across different sources and different data granularity
  • Scenario analysis to finalize segments for model build
  • Developed probability of default models (PD) to score the entire institutional customer base in accordance with Basel 2 norms

Business Impact

  • 40% jump in ability of PD models to accurately capture ‘at risk’ customers
  • Effective credit portfolio management using the principle of risk adjusted return on capital
  • Timely compliance with the capital adequacy guidelines outlined by the Basel committee
  • Reduction in the overall regulatory capital charges due to better risk management

Critical Success Factors

  • Understanding of Basel II norms
  • Expertise in predictive modeling techniques (logistic regression, IV analysis, missing imputation, etc.)
  • Expertise in modeling tools and languages (SAS, SQL etc.)
  • Ability to embed compliance requirements into modeling parameters

    3AI Trending Articles

  • Microsoft Announces Limited Access to its Custom Neural Voice

    Microsoft announced limited access to its neural text-to-speech AI called Custom Neural Voice. The service allows developers to create custom synthetic voices. . The Custom Neural Voice is a Text-to-Speech (TTS) feature of Speech in Azure Cognitive Services that allows users to create a one-of-a-kind customized synthetic voice for their brand.  Since the preview last year in September, the […]

  • Fintech startup Volopay raises $2.1M in seed round

    Singapore-based fintech startup Volopay has raised $2.1 million in seed funding to provide businesses and startups in the Asia Pacific region a powerful control center for all their financial needs. Singapore-based fintech startup Volopay has raised $2.1 million in seed funding. The company said it wants to use the funding to provide businesses and startups […]

  • How Augmented Analytics is Transforming the Analytics Ecosystem

    Author:  Sidharth Sivasailam, Vice President – Products, Course5 Intelligence | LinkedIn – The world of Business Analytics is at an inflection point. Trillions of bytes of data are being generated every day; however, companies continue to struggle with harmonizing this data, analyzing the data of various shapes and sizes they are storing, determining what’s […]

  • Which Startup Ecosystem Attracted Higher Investments in 2020? – Bangalore or Delhi NCR

    Bengaluru continues to be ahead of Delhi NCR in terms of total funding raised by startups located in these cities The pandemic saw funding across the top startup hubs like Delhi NCR and Bengaluru drying up But both cities gave the country a steady influx of unicorns in 2020, keeping the interest of investors alive […]