Case Study: Leading US Credit Card Issuer achieves stronger stress testing and RWA insights with Axtria

Axtria Conducted Stress Testing For Basel Credit Risk Models Within A Well Defined Stress Testing Framework

Leading US Credit Card Issuer Company engaged Axtria to conduct stress testing on its credit risk portfolio in order to understand the impact on model performance and risk-weighted assets (RWAs). The company needed a structured way to assess its Basel credit risk models under stressed conditions across its portfolio.

Axtria’s team of six specialists delivered a well-defined stress testing framework covering risk driver, default rate, and macroeconomic scenario stress tests. They identified the peak historical default rate as the stress period, applied stress factors to model inputs, and recalculated model performance and RWAs. The project was completed in about 3 months and covered around 16 segment PD models, 4 segment LGD models, and 6 segment EAD models, improving understanding of model strength and providing benchmarking reports for business use.