RISKlution ApS har erfaring med at arbejde med kreditrisikomodeller indenfor følgende regulatoriske lovtekster- og områder:

• CRR, Capital Requirements Regulation (2013)
• Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (2017)
• Guidelines for the estimation of LGD appropriate for an economic downturn (‘Downturn LGD estimation’) (2019)
• Regulatory Technical Standards on the specification of the nature, severity and duration of an economic downturn in accordance with Articles 181(3)(a) and 182(4)(a) of Regulation (EU) No 575/2013 (2018)
• Guidelines on Credit Risk Mitigation for institutions applying the IRB Approach with own estimates of LGDs (2020)
• Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013
• Final Draft Regulatory Technical Standards on the specification of the assessment methodology for competent authorities regarding compliance of an institution with the requirements to use the IRB Approach in accordance with Articles 144(2), 173(3) and 180(3)(b) of Regulation (EU) No 575/2013
• ECB Guide for the Targeted Review of Internal Models (TRIM) (2018)
• Finanstilsynet, Vejledning om validering af IRB-modeller (2018)
• Finanstilsynet, Vejledning om håndtering af underestimering (2017)
• ECB, Instructions for reporting the validation results of internal models - IRB Pillar I models for credit risk (2019)
• IFRS9, Guidelines on credit institutions’ credit risk management practices and accounting for expected credit losses, EBA/GL/2017/06 (2017)
• IFRS9, Bekendtgørelse om ændring af bekendtgørelse om finansielle rapporter for kreditinstitutter og fondsmæglerselskaber m.fl. (2017)
• Basel III: Finalising post crisis reforms (2018)
  • EBA Policy Advice On the BASEL III Reforms: Credit Risk Standardised Approach and IRB Approach (2019)

• Proposal for amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor