November 6, 2023
Talk to us about how Analytix Engine can help you meet PRA requirements by removing black box bureau scores from your regulatory models while better aligning risk management with your business strategy.
IN EVERY CHALLENGE THERE IS AN OPPORTUNITY
In our opinion bureaus remain a good source of aggregated data and should be embraced as such. The challenge for lenders is to utilise bureaus as a source of data to be used for feature engineering within a broader bespoke internal model development rather than relying on bureau scores as an aggregated and highly influential risk driver for each counterparty.
The rebasing of internal models should be seen as an opportunity to:
Improve understanding and transparency regarding the risk drivers that best represent the risk of a particular portfolio.
Improve and update your models risk discrimination.
An opportunity to test new data whether sourced internally, from bureaus or elsewhere for enhanced risk differentiation.
Update models to better align with your strategy and changes in market conditions.
Revisit your models segmentation schema to optimise competitiveness at a micro-segment level.
Every lender is unique in terms of its strategy, risk appetite, and go-to-market. As such the internal models should be customised to reflect the bespoke internal characteristics of strategy, operations, and risk.