Credit portfolio analyzer

Roll Rate Analytic System - a multifunctional system for a credit portfolios analysis

Scientifically rigorous and based on transition matrix decomposition, RRAS is a highly accurate tool for a credit portfolios analysis. Business Systems Consult technology makes it possible to present a heterogeneous dynamic process of a credit portfolio behavior as a sum of stationary processes. This creates a sound foundation for standard statistical methods of analyzing and forecasting of a credit portfolio. RRAS is also an analyzing tool for scenario forecasting preferred by the leading MOs. Being built in the RRAS, this technology makes us unique for our clients: we can estimate macroeconomic effects on a business with great precision and provide clients with proven solutions to their forecasting and stress-testing needs.

Regulatory agencies’ rising demands to stress-testing of credit portfolios and banks’ internal forecast quality requirements are forcing business analysts to develop ever more powerful instruments. Business Systems Consult analytical solutions, a database of industry statistics for all retail credit products (mortgage, auto loans, credit cards, consumer loans, SME and microcredits), a team of highly professional experts with strong backgrounds in credit portfolio management allow us to satisfy these demands.

Business System Consult experience and innovative forecasting solutions can deal with an increasing market volatility. An hour after a client’s data have been uploaded into the system our experts can already answer practically all important questions about managing of a credit portfolio, credit and market risks assessment, reserves forecasting, liquidity, strategy and optimal product pricing.

It is important to emphasize that In-built automated reports cover a wide range of analytic solutions. They allow bank analysts to get structural portfolio analysis by vintage, tenor and types. Interdependence of various risk metrics can be reviewed as well.

The main services of RRAS are:

  • Scenario analysis and forecasting
  • Credit portfolios stress-testing
  • Risk factors determination and analysis
  • Identification of endangered portfolio segments
  • Scoring card calibration
  • Credit risks assessment
  • Market risks assessment
  • Validation of liquidity risks
  • Hedging strategies for credit and market risks
  • Funding plan
  • Reserves forecasting
  • Pricing in the context of behavior models
  • Capital adequacy
  • Original analysis of strategy risks
  • Credit portfolio model validation
  • Basel (accounting)
  • Other services



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”.