Risk Rating Enhancement for Vancity

Vancouver City Savings Credit Union (Vancity) and its subsidiary, Citizens Bank of Canada, is looking to improve its current commercial mortgage risk rating systems to better predict the default possibility of commercial mortgage loan customers. In this project, the intern will begin with familiarizing herself with the principles, processes and operation of the existing rating model and applications as well as understating the risk profile and loan performance data. Then, she will investigate, design and build the appropriate logistic regression models and run these models against the data collected by Vancity. Based on the results of thist testing, the model will be altered to optimize its performance. Finally, the intern will assess the portfolio-wide economic impact of the altered risk rating system in terms of changes in needed capital reserves and the return on capital.

Intern: 
Jane Zhu
Faculty Supervisor: 
Dr. Dan Putler
Province: 
British Columbia
Discipline: 
Program: