In recent years, the ECB raised the minimum standards for data used for credit risk modelling. Consequently, banks that are supervised by the ECB must improve their risk landscape, including data quality and data lineage.
To meet the new, higher standards, we created multiple datasets for our client. Furthermore, these datasets were then used for model monitoring and redevelopment of credit risk models (IFRS and IRB); therefore, preventing large costs for the development of models that might be rejected.
Impact for the Client
Overall, our work on this project helped our client by preventing unnecessary costs and added efforts for models that might have been rejected. Additionally, our client now has a more future-proof risk data landscape.