CreditMetrics — credit portfolio model
Monte-Carlo simulation in single steps: systematic factor, correlated returns, rating migration and loss distribution with EL, VaR and Expected Shortfall.
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Methodological core points of internal rating systems under CRR and EBA guidelines
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Data representativeness (pool ↔ bank)
Centrally developed method at pool level, representativeness evidence per pool bank across several dimensions.
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Calibration (EBA/GL/2017/16)
Predicted PD vs. observed default rate, binomial confidence bands and traffic light per rating grade.
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Margin of Conservatism (EBA/GL/2017/16)
Stack and aggregate the add-ons of categories A, B and C interactively — per rating grade.
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