MAY 2021

PROJECT WORK CRIF-UNIBO: Backtesting KRI Single File Review

Backtesting KRI Single File Review

The project involved the Process & Risk Advisory Department of CRIF Transformation Services as part of the CRIF-Unibo Level II Master’s in Quantitative Risk Management, linked to the Internal Control Process course.

The aim of the project, entitled Backtesting KRI Single File Review, is to carry out a methodological analysis with a resulting proposal for improvements to the set of second-level controls for the monitoring of the individual exposures and aggregate portfolio of a credit institution.

Case study description

An Italian credit institution commissioned the Unibo-CRIF team to review the current system of second-level controls (Risk Management). The existing control framework was implemented 5 years ago and consists exclusively of a model with controls on individual exposures. As a result of the changing context (regulatory, macroeconomic, management, etc.), the bank expressed a need to revise the current model of selecting individual positions and to provide for the addition of controls on the aggregate portfolio aimed at giving an overview of the management of processes, procedures, and performance of the operating and collection units.


Quantitative and consultancy approach, applied to a Risk & Regulatory area.


Review of the current Key Risk Indicators used prior to sampling, in order to verify the successful implementation of performance monitoring. Design of portfolio controls to monitor the performance of the procedures and operating units of the credit management process.

Results obtained

Understanding of the analyses and controls performed by the institution’s second-level Risk Management unit to measure operating model performance and therefore ensure the correct implementation of the risk management process.

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