Vietcombank improves credit risk management model

31-Mar-2020 Intellasia | VnExpress | 6:02 AM Print This Post

In 2017, Commercial Joint Stock Bank for Foreign Trade of Vietnam (Vietcombank) successfully built Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) for retail customer category in 2018.

Recently, the bank continued to announce the completion of LGD and AED models for corporate customer category. This result not only plays a key role in the process of improving risk management capacity but also contributes to turn Vietcombank into a pioneer bank which is ready to apply Basel II according to Internal Ratings-Based approach (IRB).

The project gathered resources from more than 80 branches to participate in the process of digitising and reviewing data. In addition, there is the contribution of time, intellect, and efforts of many leaders and staff across the system from model building unit, policy unit, information technology unit, and experts.

Test results showed that the model performance measurement indicators fully meet international standards and practices. In the context that the management and data quality assurance for quantitative analysis activities still face many challenges at Vietcombank in particular and the banking system in general, this is a remarkable result for models with complex data structure like LGD and EAD.

One of the important achievement of the project after 15 months of implementation is that the introduction of overall solutions to enrich and ensure the credit risk data quality of Vietcombank, thereby strengthening the foundation of the bank’s data quality management system.

In the coming time, Vietcombank will promote the application of PD, LGD and EAD models in credit approval, risk-based loan valuation, portfolio management, etc. in order to improve the bank’s business performance and risk management capacity, thereby contributing to maintaining the bank’s leading position and the image of the best risk management bank in Vietnam.


Category: Finance, Vietnam

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