Our Operational Risk model is based on the loss distribution approach. We’ve developed an extensive expected loss model for retail portfolios (HELOC, Mortgage, Equity, and Non-Equity EL models). This approach generates individual models for Probability of Default, Loss Given Default, and Exposure at Default.
We’ve also developed a Markov chain based retail Loss Forecasting model for mortgages, consumer loans, and other loan products. Our proprietary models also include a commercial Asset Quality Forecast model, Loss Equivalent Quotient model, Credit Migration model, and a Loan Loss Mitigation product among others.