Risk parameters backtesting | KPMG | PL

Risk parameters backtesting for Banks, Financial Institutions and Debt Collection Agencies

Risk parameters backtesting

In our service we support client in confirmation of appropriateness of utilized risk parameters on basis of historical data.

We support client in confirmation of appropriateness of utilized risk parameters.

As a result of both regulatory requirements and shareholders expectations our Clients seek support in performing backtesting of risk parameters. In our service we support Client in confirmation of appropriateness of utilized risk parameters on basis of historical data.

As parameter’s values are reflected in Fair Value of underlying assets, our service enables realistic assessment of those assets which proves to be important information with regard to hold, put or call strategy.

 

As a result of our extensive market experience we can provide you with analysis of:

  • correctness of risk parameters calculation (i.e. LGD - Loss Given Default, PD - Probability of Default, LIP - Loss Identification Period, VaR - Value at Risk), with regard to:
    • Effectiveness of current model
    • Coherence of event database
    • Compliance with EBA standards (European Banking Authority)
    • Compliance with observed market practices.

 

 

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