We are expert credit risk modellers and can support you with new model development, optimisation of existing models, such as those provided within RiskAnalyst and CreditLens, calibration and validation of your models. Our focus is on banking book credit risk spanning both wholesale and retail credit risk.

We can support you with your PD, LGD, EAD models whether these are for operational purposes, IFRS or the Internal Ratings-Based (IRB) approach.

We have experience in most asset classes ranging across wholesale and retail exposures and utilise many modelling techniques including “Low Default Portfolio” techniques for portfolios where you may lack data such as Sovereigns and FIs, to the application, behavioural and collections scorecards commonly used in retail modelling. For asset classes such as Commercial Real Estate and Project Finance we have developed our own modelling approach that sits between more simplistic scorecards and complex simulation models; this facilitates the incorporation of projected cash flows in a manner that will support your underwriters’ analysis without excessive complexity.

We can provide you with validation services suited to your needs. We provide services covering both full quantitative and qualitative validations as well as more tailored offerings comprising high-level reviews and focused offerings either on quantitative or qualitative assessment of your models. When we perform quantitative validations we can share our code with you allowing you to perform validation and monitoring work on an ongoing manner without the need for our assistance. Alternatively, if you prefer, we can provide competitive offerings to perform validations on a recurring basis so that you can fulfil requirements for annual model reviews.

We are seeing an increasing interest from banks to move their standards towards those of the Basel Internal Ratings-Based (IRB) approach. Meeting the IRB requirements is much more than having compliant models. In addition to building models that meet these requirements and validating those models against those standards, we can also provide you with a number of other services to assist you meet these regulatory requirements. We typically start such exercises with a gap analysis and then can work with you to determine how best to assist you to meet the other IRB requirements, such as those related to governance, internal audit and processes, model monitoring, use and experience test, IT and data, planning rollout and permanent partial use, reporting and stress testing.

We can assist you with all aspects of your IFRS 9 impairment measurement processes. In addition to rating models, we can help you with work related to macro-economic scenarios, staging, and mapping of PDs, LGDs and EADs from Through-the-Cycle values to Point-in-Time values covering both 12-month and lifetime horizons.

We are seeing a move away from validations performed by auditors towards internal and external validations and we can help you with these validations. In addition, monitoring of your models and changes in their Expected Credit Loss (ECL) estimates is critical to the management of an effective IFRS 9 framework. We can assist you here too, setting up monitoring frameworks and assisting with the planning of ECL utilisation and its monitoring through time. We can also assist you with overall governance to help you, your auditors and your Audit Committee gain confidence that your ECL estimates meet the IFRS 9 standard.

Our focus here is on banking-book credit risk. We can help you set up processes and build models to stress test your portfolios, whether this be for internal purposes, formal supervisory stress test programmes or to support your Internal Capital Adequacy Assessment Process (ICAAP). We use a number of approaches and these will be utilised to work appropriately with you models and modelling requirements, whether these be related to capital requirement stresses, IFRS 9 or for operational stress testing.

We can also help you validate your stress test models, assessing suitability for their intended purpose, and the appropriateness and robustness of their outputs.

Additionally, we can assist you with ICAAP submissions, for example helping you with the credit risk aspects of the ICAAP such as stress testing and concentration risk.

We can help you enhance or set up your governance processes. Our core strengths lie in model governance, model validation and monitoring frameworks, reviews of rating policies and rating process enhancement.

Model risk management is becoming increasingly important; we can support you with all areas related to banking book model risk management, whether this be creating the required frameworks and standards, or implementing effective validation, monitoring, and model management.

We also perform reviews of the effectiveness credit risk assessment processes, provide assistance in the development of policies, and develop enhancements to model designs and rating processes to improve reliability and robustness.

We can assist you in the design and implementation of Risk-Based Pricing frameworks to drive profitability and optimise risk returns.

We help you design, develop and implement a framework suited to you bank considering the most appropriate measures of capital and expected losses, as well as other costs and returns. Pricing can be linked to deal structuring to allow dynamic consideration of credit risk mitigants and help your teams design the most appropriate offerings for your customers and the bank.