Credit Risk ______________________________________________________
Having helped many financial institutions address their needs since 2004, including 6 of the top 10 UK mortgage lenders, our work in financial services and more specifically within the credit risk field has significantly expanded. We have established ourselves as a market leader in providing solutions of substance which although involve a high level of technical analysis, they are intuitive and clearly communicated to our clients.
The areas we have addressed for clients include:
- Estimation of the base risk of Probability of Default (PD)
- Estimation of the base risk of Loss Given Default (LGD)
- Validation of lenders own models
From the challenges of model building and rating system design through to the understanding of economic impacts and stress testing, our team of consultants are committed to work together with clients to help them respond to the push of the new regulation regarding capital requirements, known as 'Basel II', which came into force in the EU via the Capital Requirements Directive on 1 January 2007.
The aim of the new regulation is that capital requirements should be reflective of risk, moving away from the 'one-size fits all' approach of the past. Whilst the exercise of calculating risk based capital requirements acceptable to the Financial Services Authority is a challenging one, there is the possibility of significant capital savings for lenders.
Basel II has brought a new element to credit risk analysis, with its emphasis on understanding how capital will be affected through the economic cycle. As our experience has grown, we have developed a strong position in dealing with the difficult problems of integrating the impact of the changes in the economy into credit risk assessment.
This expertise, combined with the ability to perform and assess the more traditional credit risk modelling problems, means we are well placed to help clients either by delivering complete end to end solutions, or by stepping in to help at any stage.
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