Credit Risk

Credit Risk

Basel compliant regulatory and economic capital models that help lending institutions curtail risk and have more capital open for lending at lower risk or expected loss.

Problem Statement

The problem statement was to create a complete end to end credit rating or risk management system from decision model to performance models. Also we needed to create scorecards, expected loss models , simulate unexpected loss, build CCAR models using DGSE approach. Hence the above also included a LGD and EAD model building exercise.
68% decrease in NPA

Integrate data from application for loan, social data (under GDPR norms), and other ancilliary information to more accurately track credit-worthiness

Fed data real time to the applicant/cro/sales manager so as to streamline the decision making process

Created intuitive scorecards for risk assessment and offer generation

Created simulations of economy with different interventions and shocks based on a derivation of Smets-Wouters model which helped to do risk assessment of bank lending porfolio and helped model unexpected losses better.

Continuous learning over time through reinforcement techniques and feedbacks to improve the accuracy of the entire AI -Credit Risk deployment

Credit Risk
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