White Paper

Post-Scoring Classification for Low Default Portfolios

Company: Chappuis Halder

Chappuis Halder case study

Category: Basel III

Published: 23 November 2015




After the crisis of 2008, new regulatory requirements have emerged with supervisors strengthening their position in terms of requirements to meet IRBA standards. Low Default Portfolios (LDP) present specific characteristics that raise challenges for banks when building and implementing credit risk models.

In this context, where banks are looking to improve their Return on Equity and supervisors strengthening their positions, this whitepaper aims to provide clues for optimizing Post-Scoring classification as well as analysing the relationship between the number of classes in a rating scale and the impact on regulatory capital for LDPs.

Categories related to Basel III