Challenge

RiskQuest was asked to support BNG Bank validating their redeveloped Project Finance PD model. The newly developed model entails a scorecard that enables the assignment of a rating class, and the corresponding probability of default (PD), for all specialized lending projects on the balance sheet of BNG Bank.

Approach

A team of four RiskQuest employees structurally validated the Project Finance PD model. Starting with the model documentation, followed by the data, the model, and the results’ representation. RiskQuest paid close attention to the goals for which the redevelopment was intended. We were in close contact with BNG Bank via questions-and-answer sheets and meetings to ensure good alignment throughout the process.

Results

RiskQuest provided several recommendations to improve the model through outside experience that RiskQuest brought into the model. In addition, RiskQuest performed extensive analysis on the sensitivity of the model performance. The project was successfully completed, and we would like to thank BNG Bank for their good cooperation.

For more information, please contact Huub de Wolff, Rick Stühmer, Laura Nieberg or Anne Roeloffzen.