Service overview

Credit risks assessment

Figure 2. Example of a crisis’ effect on the credit system - extra losses from main risks in a negative macroeconomic situation.

Let us suppose that a certain bank’s main line of business is loans to individuals. Risks of customers defaulting on their obligations partially or completely will always be present. In an effort to minimize losses the bank studies sales channel quality, analysts create score cards e.g. with data from credit history agencies, and borrowers with high scores, likely to return the loan, get approved. The bank also systematically controls and improves collection efficiency. Effective mathematical models for modeling and assessing risks are used, more are being created. Total risk level and capital adequacy are also evaluated by the bank specialists. Their computation according to Basel committee standards requires that unforeseen losses from loan, market and operational risks be taken into account. Several times a year the Risk Management department will run stress tests.

BSC offers automated loan risk computation, expected loss (EL) and unexpected loss (UL) estimates, scenario-based loss evaluation. Credit risks assessment also varies with planning horizon, credit portfolio structure and many other factors. This is why a systematic approach is called for – just what RRAS provides.

Service

• Scenario analysis and forecasting
• Stress-testing
• Risk factors determination and analysis
• Scoring cards calibration
• Credit risks assessment
• Market and liquidity risk assessment
• Hedging
• Funding plan
• Reserves forecasting
• Pricing
• Capital adequacy
• Basel
• Model validation