The credit risk Chapter contains:
– the difference between UL and EL, the difference between IFRS 9 and IRB,
– Expected loss (EL) for IFRS 9 calculation both for individual and collective portfolios,
– important IFRS 9 mems: default (also for IRB), staging, forward-looking adjustment, etc,
– regulatory provisions used for tax base calculation (not IFRS 9 provisions!),
– Credit valuation adjustment (CVA) for derivatives,
– Capital adequacy ratio (CAR) idea and realization,
– RW on IRB approach calculation,
– WOE and Logit transformation,
– illustration of PD/LGD model calibration techniques,
– main validation tests for PD models (Gini, Binomial, PSI) and LGD models (Powerstat, Loss shortfall, MAE, RMSE, AD),
– realized LGD calculation,
– risk appetite framework limits (RAF) for credit risk
– wholesale loan origination strategy in a nutshell,
– CF modeling for the underwriting of wholesale business (coming soon),
– retail loan origination strategy in a nutshell (coming soon),
– integration of credit risk component in the pricing of the products,
– metrics for monitoring of credit quality of the portfolio (hazard rates, roll rates, Vintage overdue analysis),
PS:
– IE means illustrative examples.
– The easiest way to navigate in illustrative examples is to use the “Presentation” file.