Probability of Default Credit Risk Model Validation (PD)
- Financial Modeling
The amount of expected loss is important in majority of risk models. Prescio was requested for preforming model validation on a regional bank’s Probability of Default Credit Risk Model multi-family and commercial real estate loan loss forecasting. The validation process included conceptual soundness, modeling framework, data quality, developer’s testing and sensitivity analysis. Prescio independently replicated the result with large amount of data and evaluated the quantitative outcome analysis of the model. Prescio provided feedback on model fit, sensitivity performance, and stress testing.