Service overview

Scenario analysis and forecasting

RRAS brings to customers an easy-to-use and multifunctional scenario analysis service. Here are the main types of forecasts a system user can generate:

- External forces forecast

  • macroeconomic trends
  • collection process change
  • seasonality

- Business development forecast

  • new volume origination (by month)
  • new credits quality
  • seasonality

- Other forecasts

  • prepayment
  • restructuring
  • revolving
  • and more

The system can analyze every type of credit, including:

  • Credit cards;
  • Auto loans and leasing;
  • Mortgages;
  • Consumer loans;
  • Student loans;
  • SME;
  • Microcredits;

On request we can introduce additional functions and reports that satisfy RRAS’ development concept.



The author presents the methods for studying credit portfolio behavior in the Modeling and Stress-Testing Credit Portfolio Behavior are partly based on so-called “dual time dynamics” method. This work suggests using dual time dynamics not for decomposing scalar values but for decomposing matrices. The author considers a credit portfolio as a process described by a first-order heterogeneous Markov chain. Starting from this premise, the author uses vintage analysis and the theorem of strong convergence of modified fixed-point algorithms to arrive at transition matrix decomposition. This method makes highly accurate forecasts of credit portfolios possible. Reserves can be estimated with excellent precision and relevant values for stress-testing obtained.

In his later article The Theory and practice of Retail Credit the author considers some successful practical applications of his methods described in the article “Credit portfolios behavior modelling and stress-test”.