IRB Nexus Delivers Advanced Credit Analytics For Banks
Elevate bank performance and transform credit analytics
Introducing IRB Nexus
IRB Nexus is an innovative credit analytics solution designed in collaboration with Oliver Wyman. The solution helps banks to enhance their internal ratings-based (IRB) models. It addresses the challenges posed by evolving regulatory requirements, particularly for low-default and no-default portfolios, where traditional data sources such as historical default observations often fall short.
By aggregating credit evaluations, including ratings and historical defaults, from over 40 banks, IRB Nexus provides access to more than 10 million risk estimates annually. This extensive dataset enables banks to build and validate their risk models and improve their compliance with regulatory standards.
Enhancing Compliance and Risk Management
By utilizing IRB Nexus, banks can build better IRB models, maintain a competitive edge in lending to low-risk segments, and more effectively manage the risk through the rich analytics provided by the solution. Additionally, IRB Nexus supports the expansion of modelling capabilities across different geographies and sectors where internal historical analytics is limited, broadening lending opportunities for banks to serve their customers better.
Tailored Risk Management and Transparency With IRB Nexus
IRB Nexus provides tailored results through a four-step process, delivering documentation to justify the approach and a dataset for audit trails, supporting transparency, reproducibility, and clarity for stakeholders reviewing the work.
The process from baselining to final product:
1. Baselining
Calibrate the definition of default (DoD) in Credit Benchmark’s portfolio against the bank’s internal data to obtain a margin of conservatism due to the potential differences in DoD.
2. Data preparation
Derive key segmentation information to reach a representative sampling of the client portfolio.
3. Creation of portfolio extension/stratified sample creation
Build a universe of clients from CB’s database as an extension to client bank’s internal portfolio.
4. Documentation
Bespoke documentation and write-up of approach, including a document justifying the approach and a dataset for audit trail with an ongoing testing sample.
Benefits and Advantages of IRB Nexus
IRB Nexus offers a suite of innovative features designed to enhance banks’ credit risk modeling capabilities.
Increased Dataset Availability
5-10x increase in historical dataset availability for low-default modelling using pooled data.
Regulatory Data Documentation
Purpose-built data documentation referencing relevant regulatory requirements (e.g., EGIM).
Expert Engagements for Compliance
Engagements led by experts experienced with regulatory IRB modelling.
Customized Analytics
Customization ensuring representativeness of the analytics for each bank and portfolio.
Ongoing Model Monitoring Service
Continuous service to enable ongoing monitoring of model.
Book a Demo
Get in touch for more information about IRB Nexus or to set up a demo with the Credit Benchmark team.
