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Credit Risk Assessment Solution

Audit-Ready Credit Risk Rating — Basel II FIRB PD Simulation

Audit-ready scorecard-based PD simulation for emerging markets. Regulator-aligned Basel II FIRB compliance with 100% formula transparency. Tailored for retail credit risk assessment in developing economies.

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99%
Model accuracy
500+
Risk variables
100%
Formula access
FIRB
Basel II compliant

Scorecard PD Simulation Engine

Probabilistic estimation framework for retail credit risk assessment

PD = 1 / (1 + e^(-z))

Logistic regression probability estimation

Input Variables
Risk Factors
Credit score, income, employment, assets
β Coefficients
Model Weights
Statistical regression coefficients
z Score
Linear Predictor
Weighted sum of risk factors
PD Output
Default Probability
Implied probability of default

Technical Capabilities

Six pillars of advanced credit risk modeling

Probabilistic PD Estimation

Scorecard-based probability of default calculations

Advanced multivariate linear regression models estimating implied PD through comprehensive scorecard analysis with statistical validation.

PD = 1 / (1 + e^(-z)) where z = β₀ + β₁X₁ + β₂X₂ + ... + βₙXₙ

Multivariate Scorecard Engine

Comprehensive risk factor analysis and weighting

Retail Credit Specialization

Optimized for consumer and SME lending portfolios

Basel II FIRB Compliance

Foundation IRB approach with regulatory validation

Data Classification Framework

Blue, Black, and White data integration

RealStats Integration

Advanced statistical analysis and validation

Data Classification Framework

Comprehensive data management with Blue, Black, and White data integration

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Blue Data

Manual Inputs

User-provided credit application data, financial information, and risk factors entered directly into the model.

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Black Data

Linked Cells & Estimates

Automatically calculated outputs, scorecard results, and derived risk metrics based on input data processing.

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White Data

Descriptive Parameters

Model configuration settings, validation parameters, and regulatory compliance reference data.

Technical Specifications

Complete model specifications and compliance framework

Technical Details

Model Type:Probabilistic Estimations
Analytics Approach:Multivariate Linear Regression
Data Science Level:Intermediate
Output Parameters:Predictive Implied PD
Governing Rules:FIRB - Basel II Compliant

Operating Details

User Access:100% including Formulae
Add Ins:RealStats

Scorecard Features

Automated scorecard generation
Variable selection and weighting
PD curve estimation
Model validation statistics
Backtesting capabilities
Regulatory compliance reporting
Portfolio segmentation
Risk grade assignment

Model Structure

Notes - Methodology explanations
Dashboard - Variable controls & statistics
Data Input Sheets - Manual entry points
Data Analytics - Metric transformations
PD Simulation - Default probability estimation

Basel II FIRB Validated

Foundation Internal Ratings-Based approach compliant with central bank regulations

FIRB methodology
Statistical validation
RealStats integrated
100% formula access

Implement Advanced Credit Risk Rating

Deploy scorecard-based PD simulation for retail credit portfolios with Basel II compliance

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Credit Risk Resources

Access technical documentation and implementation guides

Implementation Guide

Scorecard Development Guide

Step-by-step guide for implementing credit risk rating models with PD simulation

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Compliance Center

Basel II FIRB FAQs

Comprehensive answers to FIRB compliance, model validation, and regulatory requirements

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