Updates
Scoring card calibration
A score is assigned based on an assessment of probability of some event such as a customer’s transition to 90+ DPD within the next 12 months or a refusal of some service, etc.
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BSC experts help clients get the most out of the Roll Rate Analytic System. For a quick response and customer convenience the dedicated staff members coordinate support service. We want customers to develop a deep understanding of the system and decide what they expect from it and our service. We constantly work to improve our solution, add new functions, a range of tasks simplifying the user interface.
Large banks and various countries’ financial agencies use credit portfolio forecasting and stress-testing basing on RRAS. This system combines the most advanced technologies and best global practices, makes use of industry statistics for all credit portfolio types. RRAS service provides customers with predictions of the credit portfolio behavior based on a number of modeling techniques - across numerous macroeconomic and business scenarios.
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.
TRAINING CENTER
We offer courses on finance, credit, market and liquidity risks, pricing... To order e-mail us info@bsc-consult.com.
Risk management and international practice (16 hrs course)
Finance computing hands on (4 hrs. seminar)
Internal finance: bank department responsible for everything (4 hrs seminar)
PUBLICATIONS
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”.