Validation of large corporate IRB model
Support a large bank in the validation of their large corporate IRB models
Challenge
RiskQuest was asked to support the Rabobank in the validation of their new large corporate IRB models. The validation of the model had shorter timelines than usual for a validation of model of this size. Because the implementation of model is required to be complaint with the new definition of default definition.
Approach
The validation team was split in a stream per model: PD, LGD, EAD and Data and general. Later the data and consistency of definition and approach in the model was validated.
Result
The experience that RiskQuest brought into the validation project helped ensuring consistency between the models and prioritizing the tropics. RiskQuest provided expertise for the validation of LGD, definition in models, data, expert involvement, and benchmarking.
