Our client is a leading mid-sized regional bank in the US with a diversified consumer lending portfolio.

Our objective was to build a robust loan-level loss forecasting model for their credit card portfolio, along with detailed documentation of the process that would successfully meet the guidance and expectations on Current Expected Credit Loss (CECL).

• Constantly evolving guidelines – FASB and the banking regulatory bodies such as FRB, OCC or FDIC has not specified loss calculation methodology
• Substantial data preparation – the need to summarize defaults, credit and fraud losses, and to create monthly trend information
• In-depth analysis of economic risk factors at a granular level – the macroeconomic forecasts could not simply be based on deviations in the past.
• Extensive documentation needed to keep the model audit-ready