Objective

To help a global bank overcome deficiencies in modelling data, especially default data, in order to facilitate the use of an advanced internal rating-based (A-IRB) approach.

CRISIL's Solution

• Established a dedicated team with strong public finance expertise and rich experience of scorecard development for the public finance portfolio
• Developed an execution plan and started the project immediately by leveraging the proprietary SR 11-7-compliant AIRB model development approach
• Used a shadow-rating approach with an external rating agency’s historical rating as the target variable for model development
• Provided a detailed model development document and model scoring template to match regulatory requirements

Client Impact

• CRISIL successfully deployed scorecards for 12 sub-sectors across the two major municipal bond categories: general obligation and revenue bonds
• The CRISIL team provided valuable post-implementation support, including working with the bank’s executives for enhancement plans and end-user training
• End-to-end project/execution management solution helped the bank meet regulatory deadlines

Questions

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