A noteworthy oddity potentially affecting the choice of modelling approach: In the slotting approach, the risk mitigating effect of ECA coverage cannot be recognised. I.e. for transactions with ECA coverage, there is a significant over-estimation of risk in the slotting approach. On the other hand, FIRB and AIRB as well as the standardized approach do allow for consideration of ECA coverage.
Credit Risk
The dedicated space to converse with peers and our experts on all aspects of credit risk, from the technicalities of modelling using internal approaches, credit decisioning and underwriting, credit risk appetite, governance and monitoring, provisioning, and regulatory requirements
27
Topics
76
Posts
Contact Oliver Wyman
Reach out to our team if you want to collaborate on recent developments in Risk.
Subcategories
-
Internal Ratings Based (IRB) Discussion
Our dedicated space to discuss practicalities and technicalities of credit risk modelling using internal modelling approaches
-
Credit Risk Modelling Survey
Pinned -
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-