Stress testing is now an ongoing necessity for the global financial system. The main purpose of the stress testing framework is to provide a forward-looking, quantitative assessment of the capital adequacy of the banking system as a whole and individual institutions within it.
Our approach utilises regulatory requirements and industry best practices for delivering stress testing models which are fully compliant, well-controlled and easy to be explained. We work closely with the client to:
- Be fully compliant against ICAAP and IRB requirements
- Compose a capital management plan and develop mitigating actions
- Understand how capital and impairment losses fluctuate in response to recession/adverse events
- Develop sound macroeconomic and business scenarios
- Provide a check on the outputs and accuracy of risk models
- Explore sensitivities in longer-term business plans
- Influence risk appetite and adjust the business/risk profile where appropriate
- Help the business understand the portfolio
Scorecard Development & Validation
The usage of scorecards in the industry is a very important part of decisioning in our days. Lending companies invest more and more in this area and the new age demands more advanced and automated techniques to obtain competitive advantage.
For satisfying these requirements, we have developed an advanced method of developing, validating and implementing scorecards which utilises available information at a maximum and optimises decisioning strategies.
We offer three types of scorecard development depending on the models’ sophistication and the engagement with the client. We work closely with the clients and we help them during the project to enhance their knowledge around their portfolios, decisions and other business aspects.
Additionally, we could help our clients to implement the scorecards into their systems and to automate decisions.
Basel IRB Model Development and Validation
The implementation of the Basel Advanced Internal Rating Based (AIRB) framework is already a remarkable challenge for the banking landscape as methodologies for the determination of capital requirements are quite demanding and challenge the skills and knowledge of credit risk departments.
Our consultants have delivered AIRB projects at a full scale for large, medium and small banks and lending institutions across Europe. For achieving this we utilise our extensive modelling, regulatory and product experience.
Our approach adds value beyond compliance by enhancing clients’ understanding of risk. By following a transparent and meticulous approach we help our clients to assess capital requirements in an accurate and efficient manner.
IFRS9 Model Development and Validation
International Financial Reporting Standard 9 (IFRS9) is one of the major regime changes in risk and finance of the last few years. IFRS 9 changed the way of classifying and measuring financial assets and introduced a revised modelling approach for impairments. To help banks get ahead, we have developed complete advanced modelling solutions which could be easily adapted.
Our experts are heavily exposed in developing, validating and monitoring IFRS9 models against business and regulatory requirements. We have worked closely with some of the leading lenders in UK and mainland Europe for developing an effective, compliant, controlled and understandable method for delivering IFRS9 models.