Credit Risk

objective

Measure and control credit loss risk across obligors, sectors, and portfolios with calibrated pd/lgd/ead models.

workflow

1. define obligor universe, default definitions, and risk horizon conventions.
2. estimate pd, lgd, and ead with segment-aware calibration.
3. aggregate expected and stressed losses to portfolio and desk levels.
4. validate calibration, discrimination, and tail-loss behavior.
5. deploy only when risk metrics and controls are stable and explainable.

required validation

• expected-loss decomposition consistency across pd, lgd, and ead.
• calibration drift by rating band and sector.
• default-event capture and false-alarm behavior.
• stressed loss sensitivity under macro and spread shocks.
• concentration risk by counterparty and sector cluster.