Financial Services, Case Studies Overview _______________________________
Due to the nature of the financial services industry Volterra respects the need for client confidentiality. We are therefore not able to divulge what specific work we have carried out for a client. However, please read the case studies below for an overview of our expertise.
Top 10 Mortgage Lender >>
Working from their individual account level data to produce a complete Pillar I solution. Elements of the project include a significant data screening exercise, selection of risk pools and estimation of PDs, including long run calibration and taking account of ratings migration.
Large Mortgage Lender >>
Produced stress testing results that took into account ratings migration over the course of an economic recession. The methodology developed showed how a five year scenario rolled out over time and a forecast of ratings migration through time. By focusing on the risk pools together with an overarching book level stress test the methodology produced a framework which not only gave results based on the lenders' current book, but also allowed the lender to run different scenarios for how their portfolio will develop through time.
Large Retail Bank >>
The project was in the unsecured lending area and involved significant challenges to support their application for IRB status, including the need to develop new methodology to properly address the problems faced. The components of the project included sourcing appropriate external data, addressing the problem of deteriorating credit quality through time and modelling probability of default through an economic cycle.
Major European Bank >>
Work was commissioned to help understand the risks inherent in the bank's operational structure including its corporate loan granting and monitoring processes, and the speed and nature of action it takes when default occurs. Volterra developed a high level model of the bank's structure using an agent-based model, where the agents represent the bank's actual decision-making structure. This was populated with behavioural rules regarding its processes. At the same time, Volterra modelled the riskiness of the bank's corporate portfolio using a variant of the asset value model (Merton model). Since completion the Bank has commissioned further work in the area, surveying their loan officers to establish true loan decision and monitoring behaviour.
UK Bank >>
