Introducing IRB Nexus
IRB Nexus is an innovative credit analytics tool designed in partnership with Oliver Wyman. Fueled by Oliver Wyman analytics and Credit Benchmark data, the tool assists banks in enhancing 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 often fall short.
By aggregating credit evaluations collected by Credit Benchmark from over 40 banks, IRB Nexus provides access to more than 10 million risk estimates annually. This extensive dataset enables banks to validate their risk models effectively and demonstrate compliance with regulatory standards.
The tool is tailored for financial institutions seeking to improve their credit risk assessment processes, allowing them to leverage collective insights for more robust modeling. By utilizing IRB Nexus, banks can optimize their capital reserve requirements, ensuring they maintain a competitive edge in lending while effectively managing risk. The solution fosters proactive risk management through the development of early warning systems, empowering banks to make informed decisions and reduce systemic risk exposure. Additionally, IRB Nexus supports the expansion of modeling capabilities across different geographies and sectors, broadening lending opportunities and enhancing overall risk management frameworks.
Enhancing Compliance and Risk Management
IRB Nexus provides banks with aggregated data from Credit Benchmark, enabling them to validate their IRB models effectively. This collective insight not only satisfies regulatory scrutiny but also reduces the capital reserves required for lending.
Additionally, IRB Nexus offers customized analytics and comprehensive documentation support, ensuring banks meet regulatory requirements while justifying their assumptions. The tool also facilitates proactive risk management through early warning systems, allowing banks to mitigate exposure to systemic risks. By expanding modeling capabilities across various regions, IRB Nexus enhances risk assessments and broadens lending opportunities, making it an essential resource for financial institutions. Designed as an ongoing service, it ensures continuous improvement through annual updates and analytics for client portfolios.
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.
