In an era of heightened regulatory standards, particularly in the banking sector, our clients frequently leverage our expertise in some of the most critical and urgent areas. These include Federal Reserve Stress Testing (CCAR, DFAST), Basel, SR11-7 and others. We have been instrumental in developing and documenting some of the cutting-edge models for top financial services institutions.

Sample Cases

Basel Individual and Institutional Credit Risk Modeling

One of the large credit card company had been making progress to be fully Basel compliant in the last few years. Their credit exposure consisted of a variety of individual and institutional products covering both US and many international markets. We have been a key partner in creating, implementing, and revising both Basel Pillar I and Pillar II credit risk models since the inception of their journey to be fully Basel compliant. The objectives included:

  • Develop the required Pillar 1 & Pillar 2 credit risk models
  • Establish standard modeling procedures and result output templates to be used by all modelers
  • Document key decision and approach rationales, modeling process, and results
  • Address model validation, internal audit questions and requests
  • Assist technology teams in model implementation, performance monitoring and tracking
  • Assist with regulator exam preparation and address questions from regulators

We were at the core of the team, working closely with clients to fulfill regulatory requirements:

  • Built three generations of Basel Pillar I credit risk models for all the individual and institutional portfolios
  • Prepared tens of thousands of page documentation, standardized and automated modeling codes, model output in well-organized templates
  • Created the first generation of Economic Capital models which uses Basel Pillar I model results as inputs
  • Created the first generation of Basel and EC capital stress testing models for individual and institutional portfolios
  • Our Client successfully entered external parallel run and became fully Basel compliant

Regulatory Data Streamlining and Reporting (CCAR)

Supported supervisory stress testing and continuous monitoring efforts, CCAR FR Y14 reports are required by US bank and financial regulators for all the Bank Holding Companies over $50 in total consolidated assets. DIA provided a robust and automated reporting framework and helped a worldwide bank successfully submit FR Y14 reports for 2+ years. We focused on designing an end-to-end process to create, validate and deliver monthly and quarterly CCAR reporting requirements, increasing operational effectiveness and reducing the potential for costly and timely manual errors. In addition, the team was constantly reviewing and updating the new development with CCAR framework to ensure the reporting is in line with evolving regulatory requirements.