Analytics and Credit Risk Measurement

MNK Risk Consulting > Analytics and Credit Risk Measurement

Specific areas on credit risk measurement where our professionals have a wealth of experience and expertise include

Individual Impairment Tests and Provisioning (Allowance for Loan and Lease Losses): setting up the process, workflow design, implementation, evaluation of an existing process, calculation of the provision charge, assessing the adequacy of stock of provisions, navigating between accounting and regulatory expectations, implementing the new IFRS 9 (that will be replacing IAS39)
Credit risk Collective Provisioning by portfolio type: methodology , risk parameter estimation and moel validation, implementation, evaluation, assessing the adequacy of provisions
Provisioning policies (Impairment and write off): development of new ones customised to the size and complexity of an institution, and evaluation of existing ones
Internal (credit) rating models for legal entities/borrowers: methodology development, implementation, validation
Transition probability matrices based on borrower/obligor rating or days past due bucket count migrations
Retail Credit Application Scorecards, generic and bespoke: development, evaluation, validation
Credit Behavioural Scorecards
Risk adjusted credit facility pricing, based on either regulatory capital requirements (Standardised Approach or IRB) or on economic capital needs. RAROC (risk adjusted return on capital) based performance measurement
Creation of credit default annual loss distribution (Vasicek Single Factor Model, Actuarial Model, other modelling approaches)
Credit Value-at-Risk (VaR) for internal capital allocation: model implementation, evaluation and validation of existing models
Customer loan portfolio and counterparty risk comprehensive analysis
Credit Risk stress testing for Pillar 2 capital allocation purposes; Methodology development implementation, validation

- P&L impact of flow of new defaults
- P&L impact from falling immovable property values
- Point-it-time default probability (PD) and loss-given-default (LGD) estimation
- Capital allocation for concentration risk to large exposure and industry sectors (Herfindahl approach, Granularity approach).

Specific areas on credit risk measurement where our professionals have a wealth of experience and expertise include

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