Large Corporate model development - Country anchor and Merton module

[User 950]

RiskBowl,

I have a few topics I would like to get your insight or latest views

IRB Large Corporate model – country component

• Have you seen any country scores or similar to be used in a truly global model? (e.g. client considers a large corporate client in a more mature country to be of less risky than a company with same financial profile in a more volatile environment)

IRB Large Corporate model – Merton PD component

• Have you seen anyone using directly a Merton PD component recently?

• Have you seen the usage of simple capital market indicator or information e.g. Share Price, Market Cap, to proxy a more Point-In-Time component?

Thanks for your help

[User 950]

Hello

1. I have seen corporate model have country specific sub models, to reflect political dependencies and support or changes in legislation, e.g., the France care home scandal and changes in the legislation

2. In the RSU corporate model one of the submodules is a Merton model, to reflect the market movements