Credit Risk Consultancy
Our services include
Gap Analysis
- Diagnostic review of credit risk management practices compared with industry best practices and regulatory guidelines.
Policy & Procedure
- Design and implementation of a best practices-based credit risk management framework
- Reengineering of credit and credit risk management processes
- Preparation of credit risk management policy
- Design of collateral management framework
- Design of RAROC estimation and risk-based pricing framework
Model Development
- Development of appropriate corporate and retail risk models for portfolio credit risk management, including an estimate of asset correlations
Model Validation
- Development and validation of internal credit rating models for different categories of borrowers
Parameter Estimation
- Installation of data management processes and analytical methodologies for deriving default probabilities, transition matrix and loss given default statistics
Credit VaR Estimation
- Development of framework to estimate portfolio credit VaR based on underlying parameters, as well as inter-sector correlations