RISKlution ApS has participated in various projects:

• GAP-analysis regarding IFRS9, EBA GLs, BASEL3/4:
  • New default definition
  • PD and LGD, identification and specification of adjustments to existing AIRB setup
  • Lifetime expected loss  (IFRS9)
  • Changes from Basel 3
  • Dialog with Danish FSA regarding upcoming regulatory changes
• Segmentation and grouping of customers, facilities and collateral
• Identification of economic downturn(s) based on EBA GLs (downturn)
• Estimation of Credit conversion factor (CCF) and revolving credits for both retail and corporate
• Haircut-models and collateral value estimation (all asset types):
  • Market value models for real estate
  • Statistical and expert based haircut models
  • Collateral volatility 
  • Cross asset collateralizations 
  • Calibration of collateral values to economic downturns
• Unfunded Credit protection (UFCP), effect of guarantees on LGD.
  • Experience with both modelling approach and substitution approach, compliance with EBAs Credit Risk Mitigation GLs for AIRB
• Loss Given Default (LGD):
  • Data compliance with new EBA GLs (Target and risk drivers)
  • Estimation and calibration of LGD subcomponent models (eg. cure rate, unsecured recovery, collateral value)
  • Estimation of internal and external cost
• In-Default LGD:
  • Data specification for in-default ELBE and LGD in-default.
  • Models for in-default LGD
• Appropriate adjustments, MoCs and conservatism in implementation
• IFRS9-models
• Basel 3/4 input and output floors
• Documentation of models (CRR, IRFS9, BASEL3/4, RAROC)
• Wide range of Retail & Corporate portfolios in Bank, Morgage and Leasing
• Use of public data to extend and improve internal data
• Validation of credit risk models
• Model life cycle and model governance
• IRB-applications to Danish FSA
• Evaluation of new business products and impact analysis on internal AIRB models
• Project management
• Design and implementation of internal RAROC project solutions 
• Experience working with international partners
• ESG (Enviromental, Social and Governance) in credit management and models