Frontiers of Risk Management, Volume I

CHAPTER 12

Citigroup’s Basel-Ready Tool: The Consolidated Credit Risk Model

Jennifer Courant, Bryce Ferguson, and Ákos Felső vályi

Citigroup

Introduction

As part of Citigroup’s efforts to implement best practice risk-rating tools and prepare for Advanced Bank Status under the Basel II Accord, the Risk Rating Analytics Unit of Citigroup Risk Architecture introduced a new generation of credit risk models in 2002. By year-end 2004, the new credit risk model (CRM) application, known as the “Consolidated CRM” (hereafter, the CRM), had incorporated all 14 proprietary credit risk models deployed across Citigroup.

In this chapter, we describe the CRM in the context of the Basel II Accord and the credit risk management practices of Citigroup. The CRM ...