Developing validating and using internal ratings methodologies and case studies

02-Aug-2017 08:02

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Aptivaa developed several PD and LGD models for Retail and Corporate portfolios and delivered a strategic roadmap to the client to attain IRB Compliance.

The models developed resulted in significant capital savings for the Bank.

Grades come in two categories: credit ratings and credit scores.

Credit ratings are a small number of discrete classes, usually labeled with letters, such as 'AAA', 'BB-', etc.

For larger loans, accessible to small- to medium-sized companies and larger corporations, credit ratings are usually used, and the grading process may involve a combination of automated algorithms and expert analysis.

There are rating agencies that keep track of the creditworthiness of companies.

Credit scores are numeric grades such as '640' or '720'.

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This example shows how to build an automated credit rating tool.

We assume that historical information is available in the form of a data set where each record contains the features of a borrower and the credit rating that was assigned to it.