Objective

To establish a sampling methodology that represents an entire portfolio, adheres to all regulatory guidelines and provides a reasonable assurance on portfolio credit quality.

CRISIL's Solution

• Designed a sample selection methodology combining stratified random sampling and expert judgement sampling
• Stratified random sampling helps develop a representative portfolio by ensuring coverage of all sectors in the portfolio with no manual intervention
• Expert judgement sampling ensures inclusion of obligors that have new issuances, pose significant risks or otherwise warrant special attention from management
• Established an appropriate sampling threshold that can be adjusted based on the complexity of the investment portfolio and resources available to conduct a rating review
• Recommended a quarterly sampling frequency to ensure regular monitoring of portfolio credit characteristics

Client Impact

• Designed a robust sampling methodology supporting effective review of investment portfolios
• Provided continuous monitoring of key risks
• 100% compliance with regulatory guidelines and positive feedback from examiners

Questions

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