ESTIMATION OFEXPECTED CREDIT LOSS (ECL) PARAMETERS
Our expertise in credit risk models and our knowledge of the models used on the Paris market enabled the client :
- A range of methodologies already used by banks and new, innovative ones
- A detailed report and a summary report on all proposed methodologies (description, calibration, R/SAS package, strengths and weaknesses).
In addition, the choice of profiles adapted to the customer's needs (expert consultants and credit risk management consultants) enabled us to answer further questions from the customer during feedback meetings and produce high-quality methodological notes within the allotted time.
In short: a methodological proposal to improve ECL calculations and take into account the impact of the COVID-19 crisis in ECL calculation parameters.