How do you make credit estimation for Industries ?
Three broad types of economic capital (EG) estimation processes are used by the 12 banks participating in this survey:
1. EL-sigma approaches.
2. A structural model that directly employs loan default correlations (LDCs).
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Business case development tool defines approach to credit risk management for opt-in banks (Advanced Internal Ratings Based - AIRB vs. Others)
Data requirements for various exposure types to estimate AIRB credit capital
Technical and Functional requirements along with Data Model
Testing strategy for back testing