The two key risks in granting credit - the expected loss or cost of lending and the tail risk or unexpected loss need to be quantified to understand how profitable lending can be, not just on a high level profit basis but also on a capital intensity basis too. To that end RCalc provides services to quantify both. Each loss metric is then comprised of PD, EAD and LGD elements. The RCalc partners are experts at quantifying all elements of the loss space.
To summarise the service suite, we can provide expert guidance on:
- Scorecard construction - Application, Behavioural, Collection
- Basel II - Through the cycle mapping, documentation, model and use test review
- Portfolio Valuation - Including attrition and cross sell modelling
- Recovery Modelling
- Exposure at Default
- Scenario Analysis
- Market Risk Modelling - VaR, Monte Carlo
- Monitoring - The portfolio , concentration risk, risk drivers and loss metrics
- Due Diligence - Of portfolio acquisitions, underwriting processes
- Data Analysis - MI, univariate analysis, data reduction, segmentation schemes
- Operational Benchmarking
- Start up assistance - Devise best of Breed solutions to encompass expert scorecard models, initial regulatory capital calculations, database, design, operational design, cut off decisions and team building.
- Training - SAS, model building & validation
- Economic Capital Calculation