How to Make Credit Risk Model Monitoring Cheaper and Faster
Credit has been fueling economic growth and activity across the globe since early 19th century (sources: Federal Reserve, Visual Capitalis). And the importance of credit has not changed in the last decade (source: EBA). At the same time, however, the scrutiny over the risk management of these models within financial institutions and external regulators has […]
Behavioural Modelling in Finance During Unusual Times – Roundtable
The insight of Frans Boshuizen, sector lead Financial Services at Amsterdam Data Collective (ADC), on behavioural modelling was the base for the ADC roundtable on October 22, 2020. Experts from ABN AMRO Bank, ING, KNAB, NN Bank, Rabobank, NIBC, Triodos, Vivat and de Volksbank attended the roundtable, which was held online for the first time […]
How data science can be used to steer operational risk management
Short-cycle experimentation and innovation briefly working hand-in-hand as equal partners. Our recent operational risk management project with De Volksbank demonstrates just how powerful a tool this can be to quickly arrive at new insights. Operational risk management (ORM) De Volksbank must report annually on its most significant operational risks. Such an estimate is made up […]
How will the EBA guidelines on loan origination and monitoring support the bank during the crisis?
Banks are currently busy with helping their clients in implementing all kind of measures to ease the pain of the current crisis. Also, our government provides subsidy and/or guarantees on bank loans to companies who are affected by the lockdown. To cut things short, all the departments within the banks are pretty much occupied with […]
Models Behaving Badly?
1-minute version In 2011 Emanuel Derman wrote his book Models Behaving Badly: In general models do not perform well in financial crises. Risk and finance department will face a challenge in maintaining their behavioural models since these models are usually calibrated on ‘normal times’. Behavioural models play a crucial role in, among others, ALM, pricing, […]
How will COVID-19 affect banks?
On 19 March, Kees van Dijkhuizen, chairman of the board of ABN AMRO, stated that banks will be part of the solution for the current crisis. Together with ING, Rabobank, de Volksbank and Triodos Bank, they decided to give companies affected by the COVID-19 a six-month delay in loan repayment. Initially, it concerns loans of […]
Always check the evidence in Weight of Evidence
During one of ADC’s recent projects, we developed a behavioral score card, modelling the probability of a client becoming “At-Risk” in the next months. We used a technique called Weight of Evidence scaling on our data. Some blogs promote to use WoE scaling as a solution to automate the data preparation process. I’m not so […]