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We help our clients develop or validate
ECAI-based shadow-rating models


ESG Risk Modelling

Our approach to ESG risk modelling is embedded in a thorough review and understanding of rating agencies’ (ECAIs) rating policies and practices. We aim at developing shadow-rating models integrating the risk drivers considered by ECAIs.


Models Construction

Such models can be trained and tested on representative external data – i.e. historical ratings and underlying scores and factors. Risk drivers can be quantitative available inputs, while others may require experts’ guideline-specified inputs.


Validation and Performance

At initial validation, benchmarking –pillar-by-pillar, with geographical and sectoral segmentation– can be performed to assess the performance of the model. Ongoing monitoring can leverage such benchmarking capacity, in addition to the monitoring of overrides.

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