1. Reviewed Credit Risk Management Policies, Methodology, and Model
- Assessed credit risk policies for completeness, alignment with the Bank’s risk appetite, and compliance with CBB regulations, covering underwriting, due diligence, lending limits, and exception management.
- Evaluated credit monitoring and reporting procedures to ensure timely risk identification, escalation, and management oversight.
- Reviewed credit risk measurement methodologies (PD, LGD, EAD), risk mitigation strategies (collateral, guarantees, covenants), and stress testing frameworks for robustness under adverse scenarios.
2. Reviewed Rating Model Documentation
- Assessed documentation completeness, clarity, and effectiveness in defining model purpose, scope, assumptions, data inputs, and segmentation across borrower types.
- Reviewed governance, validation, and risk management frameworks, ensuring compliance with internal policies, regulatory requirements, and model accuracy.
3. Reviewed the Master Rating Scale (MRS)
- Evaluated design, segmentation, and calibration of rating grades, ensuring alignment with external credit ratings, borrower types, and risk appetite.
- Assessed MRS application in credit decision-making, RWA calculation, risk monitoring, and compliance with CBB regulations.
4. Performed Quantitative & Qualitative Validation of the Rating Model
- Validated PD calibration, statistical techniques, and compliance with CBB and IFRS 9, ensuring accurate risk differentiation and providing improvement recommendations.
- Conducted back-testing and stress testing to assess model performance, ensuring robustness across portfolios, time horizons, and economic conditions.