Regulation & Governance
Credit risk management experts who provide advisory services for governance, risk assessment and management, compliance within the context of the risk appetite framework.
Credit risk management experts who provide advisory services for governance, risk assessment and management, within a constantly evolving regulatory context. We can help you with:
Governance: SREP, RAF, ICAAP
- SREP assessment and RAF design and implementation, including capital allocation planning in order to achieve a risk adjusted budget at business unit level and strategic activities to monitor, organize and govern risk within the financial institution and to better manage risk in different economic scenarios;
- ICAAP design, calculation and reporting with a focus on Credit Risk, Concentration Risk and Operational Risk.
Internal Control System Evolution: Early Warning, Second Line of defense, Internal Validation & Regulatory Benchmarking
- Early Warning System (model and process) design and implementation considering behavioral, regulatory and accounting related (i.e. IFRS9 staging criteria) KPIs;
- Second line of defense controls inspired by NPL Guidelines, CRR, and national discretions at country levels on: exposures, procedures and workout;
- Support for internal validation (IRB & IFRS9) in the design and implementation of the validation framework, checklists on credit risk (models, process, IT, data input) with the possibility to outsource selected activities;
- Regulatory benchmarking on IRB, scoring and IFRS9 models (and macroeconomic assumptions) to compare internal performances and model design to own CRIF Market models.
Supervisory Advisory: Asset Quality Review, NPE Guidelines & Plan
- Availability of an AQR re-performance methodology and tool to identify misclassification and misvaluation events to drive stress tests and remediation activities;
- Support in the design, implementation and monitoring of NPE Guidelines & Plan.
Basel advisory: RWA Optimization Std & IRB, Basel Roadmapping
- RWA Optimization: improvement of Data Quality, process remediation, Regulatory Tuning, Benchmarking both for IRB and Standardized Credit Risk;
- Support to define and manage Basel transition from Std to IRB Models for Credit Risk;
- Support for Quantitative Impact Study both for IRB and Std Models;
- Evolution of actual framework under New Default Definition (models, processes, data inputs);
Impairment advisory: modelling, validation & credit policy (IFRS9, Calendar Provisioning, Due diligence)
- Extensive experience in impairment modelling (i.e. IFRS9) for significant and less significant institutions (and pool development)
- Supply of outsourced IFRS9 PD modelling service starting from client default rate or 1-year PD or leveraging on market experience;
- Writing of Credit Policies and setting quantitative rules;
- Support for Due Diligence of credit portfolios and optimization (under ifrs9 framework, calendar provisioning rules,etc..)
Information Framework content Evolution: COREP, NPLs, Anacredit, AQR …
- Support for the design, evolution and implementation of Information Framework for COREP, NPL, Anacredit and AQR purposes.