With significantly increased regulatory focus on capital adequacy and short- and long-term solvency for banks, insurance companies and investment firms with own trading books, it is crucial to rethink capital planning and risk measurement. Satisfying regulatory expectations related to capital adequacy requires a move from point-in-time measurement to forward looking risk measurement.
We have acquired international experience and expertise
on the provision of the following core services
Modelling portfolio credit risk
LGD (Loss Given Default) & Recovery Rates modelling and calculation estimation
Simulation of credit default annual loss distribution and use of several credit risk measures (Vasicek Model, Actuarial Model, other modelling approaches)
Facilitate decision making: what part of the portfolio to provide for, what part to allocate capital, what part to hedge or sell, what part to do nothing
Evaluation of economic capital models, regulatory IRB programs
PDs (annual Default Probability) modelling and calculation estimation
Implementing or reviewing a risk adjusted credit facility pricing model (for banks)
Implementing an Expected Credit Loss Model based on probability weighted forward looking data
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