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Credit Risk

Credit Risk Management

Briefing Note

New Trends In Credit Risk Management: Real-Time Analysis And Data Teams

In Credit Risk management, it is common practice for banks to use financials for assessing the creditworthiness of large and mid-corporates, with the drawback of being outdated by the time the credit review takes place. This paper proposes the use of real-time transactional data to circumvent this issue. This process can be further improved by setting in place teams dedicated to data management and preparation with the benefit of centralising the information used for other purposes, e.g. modelling, loss collection, monitoring, validation.

Case Study

Pillar II - Modelling credit and concentration risk on the portfolio of a commercial bank

The client was seeking to develop a more risk sensitive measure of credit and concentration risks for internal steering purposes, and to comply with supervisory requirements. Avantage Reply assisted the client to identify the possible methodology options, and to conduct an impact study to estimate the impact on internal capital.

Best Practice

Credit risk measurement and management for banks and building societies

Reply offers credit risk measurement and management to banks and building societies.

Best Practice

Credit risk measurement and management for non financial institutions

Reply offers credit risk measurement and management  to non financial institutions.

Case Study

Development and Implementation of Collateral Management Framework for CCP/Non-CCP Cleared Products (incl. OTCs)

The client was seeking to document the Collateral Management (“CM”) Framework to ensure CRD IV and EMIR compliance. The CM Framework scope included all products subject to collateral requirements for Counterparty Credit Risk (“CCR”) mitigation, including CCP and non-CCP cleared products such as OTC derivatives. Avantage Reply provided the subject matter expertise required to conceptualise, develop and formalise the CM Framework.