Banks - credit risk

Developing rating models derived from application data and behavioral data in order to evaluate the credit risk and make available equity capital – that is the right conclusion to be drawn from BASEL II, which will lead your bank to success.

Silvia Heimreich, MAS and Statistikbüro Franz Weissenböck, PhD offer banks help for the development and validation of rating models.

Based on your raw data, we will develop scorecards and will provide you with an automated solution in SAS or SPSS, with which you can calculate rating models yourself.

Brochure rating models In the brochure available here you will find more information on „Why rating models pay off“ and „How to implement rating models“. Download here (in German)

Developing a rating model step by step:
tl_files/images/Zahlen/1_orange.jpg Preparing application and behavioural data
  • Start up Meeting
  • Data extraction
  • Good-bad definition
  • Sampling Stichprobenziehung
tl_files/images/Zahlen/2_orange.jpg Relevant parameters for scorecards
  • Univariate analysis / data preparation  Univariate Analyse: Häufigkeitsauszählung Univariate Analyse: Deskriptive Statistik
  • Bivariate analysis  Bivariate Analyse
  • Selection of modelling variables
  • Multivariate analysis / modelling
  • Scorecard Scorekarte
tl_files/images/Zahlen/3_orange.jpg Validating and providing of scorecard
  • Evaluation and validation (out-of-sample)
  • Monitoring and validation (out-of-time)

Mag.a Silvia Helmreich Silvia Helmreich, MAS

  • College of Higher Education BFI Vienna, Head of study course „Quantitative Asset and Risk Management“
    April 09 – today
  • SMARTSTREAM, freelancer in the area of registration of banks
    Dec 07 – June 09
  • College of Higher Education BFI Viennna, researcher in the area of Basel II / Risk Management
    Feb 07 – April 09
  • RAIFFEISEN INTERNATIONAL, Basel II project manager for the area „Retail“
    Sep 04 – Jan 07
  • EXPERIAN, Data Analyst/Business Consultant in the area of Risk Management for banks
    Sep 00 – Aug 04
  • MOBILKOM AUSTRIA, department for Customer Retention – Survey manager
    Dec 98 – Jul 00
  • SCORE CONSULTING, Consultant in the area of Risk Management for banks
    Jun 97 – Nov 98
  • SOWIS – University Library of the WU Vienna (Viennna University of Economics), scientific assistant
    Aug 94 – April 97

Projects (excerpt) 
  • Classical Variables in Application and Behaviour Scoring
    Client: Raiffeisen International (RI)
    April 09 – Nov 09
  • Validation of (retail) rating models from the aspect of Basel II
    Client: Company D.M.S. (Data analysis, model development, statistics)
    April 08 – Sep 08
  • Several projects at SmartStream Technologies
    e.g. for the registration of banks taking into account the Basel II requirements 
  • System of rules for GKE, VERA, GVA und COREP reports; contact person for experts in the Austrian National Bank,
    Holding of Basel II seminars
    Dec 07 – Jun 09
  • Implementation of the standard and IRB approach to credit risk (Basel II) in a software solution
    Client: SmartStream Technologies
    Mai 07 – Dec 07

Publications (excerpt) 
  • Helmreich, S. (2009): Credit Scoring – Development of Scoring Models with Regression Analysis,
    Teaching Paper, College for Higher Education BFI Vienna
  • Helmreich, S. (2008): Validation of (retail) rating models from the aspect of Basel II,
    D.M.S., study GESPERRT
  • Helmreich, S./Jäger, J. (2008): The Implementation and the Consequences of Basel II.
    Some global and comparative aspects, Working Paper, College for Higher Education BFI Vienna
  • Helmreich, S. (2008): Implication of the standard and IRB approach for credit risk (Basel II) in a software solution. In: „Wirtschaft und Management“ (Economy and Management), p. 61-79.