FCG has unique and in-depth IRB knowledge

Are you considering applying for IRB? Or are you in the process of updating your IRB models based on feedback from the FSA?

FCG has a structured and well proven methodology from supporting banks in IRB projects and applications.

FCG has unique and in-depth IRB knowledge

During 2018-2021 all IRB banks had to re-develop their IRB models due to new guidelines and default definitions from EBA. FCG has helped our clients execute over 30 different IRB applications for various categories of banks, from Tier 1 to Tier 4.

FCG has 45 specialists with thorough IRB expertise and is Nordic market leader with our IRB offering.

With our unique insight in IRB issues from the Nordic market FCG can provide you with the best possible support for your IRB applications and models.

FCG has helped a large majority of the Nordic banks with the re-development of models in line with the new guidelines, as well as sending applications to the FSA and being involved in the FSA dialogue.

We provide you with in-depth expertise in all IRB approaches and exposure classes

  • Retail IRB (mortgages, consumer credits, credit cards etc.)
  • Foundation IRB (Mid/large Corp, Institutions and Sovereigns)
  • Advanced IRB (Mid/large Corp)

In addition, we help you set up the framework around IRB to ensure efficient operational processes:

  • PD and LGD – downturn adjustment methodologies
  • Writing Margin of Conservatism (MoC) policies and calculating MoC
  • Development of risk model monitoring for quarterly reporting (part of risk dashboard)
  • Validation of IRB risk models (PD, LGD, CCF)
  • Implementation of PD and LGD models in IT systems
  • Support in the IRB inspection by FSA
  • Model development (PD, LGD, CCF)
  • Data model design and management (also BCBS 239)
  • Production of model validation methodologies and frameworks

Contact us to discuss how we can help you:

Johan Røthe

Managing Director, RCF

Patrik Scheele

Managing Director & co-Head of Team Risk & Finance

Client stories

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