Helping a Global Bank upgrade Modelling Data and develop Rating Scorecard for a Low-Default Muni Portfolio
Client: Global Systemically Important Bank
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Objective
To help a global bank overcome deficiencies in modelling data, especially default data, in order to facilitate the use of an advanced internal rating-based (A-IRB) approach.
CRISIL's Solution
Established a dedicated team with strong public finance expertise and rich experience of scorecard development for the public finance portfolio
Developed an execution plan and started the project immediately by leveraging the proprietary SR 11-7-compliant AIRB model development approach
Used a shadow-rating approach with an external rating agency’s historical rating as the target variable for model development
Provided a detailed model development document and model scoring template to match regulatory requirements
Client Impact
CRISIL successfully deployed scorecards for 12 sub-sectors across the two major municipal bond categories: general obligation and revenue bonds
The CRISIL team provided valuable post-implementation support, including working with the bank’s executives for enhancement plans and end-user training
End-to-end project/execution management solution helped the bank meet regulatory deadlines
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