Skip to Main Content
Frontiers of Risk Management, Volume I
book

Frontiers of Risk Management, Volume I

by Dennis Cox
July 2018
Intermediate to advanced content levelIntermediate to advanced
256 pages
6h 22m
English
Business Expert Press
Content preview from 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 ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Frontiers of Risk Management, Volume II

Frontiers of Risk Management, Volume II

Dennis Cox
Derivatives and Risk Management

Derivatives and Risk Management

Madhumathi Madhumathi, Ranganatham Ranganatham

Publisher Resources

ISBN: 9781947098473