Credit Risk Management Advisory

Credit risk is one of the most material risks impacting financial institutions in post-crisis world. The major cause of serious banking problems continues to be related to lax credit standards for borrowers and counterparties, lack of attention to portfolio risk management and other circumstances that can lead to deterioration in the credit standing of an institution's counterparties. To manage credit risk, institutions should identify, measure, monitor and control credit risk as well as determine that they hold adequate capital against credit risk and that they are adequately pricing for risks incurred.

Use our expertise in credit assessment and portfolio management, credit risk dashboards, credit model development and validation, risk-based pricing, credit risk regulatory and economic capital computation and allocation, stress testing and credit policy development to manage default and recovery risk and to manage capital efficiently.

Asymmetrix Credit Risk Management Advisory

Credit Assessment

We help institutions in building, implementing and maintaining borrower rating and facility rating systems (PD and LGD models) and design and implement credit workflows to reduce TAT for credit proposals. Use our expertise in setting structural limits for different industries based on empirical default rates, industry dependence, economic and regulatory capital allocation and actual risk-adjusted returns by different industry portfolios.

Credit Risk Dashboards

Use our inventory of more than fifty credit risk dashboards to analyse credit portfolio across multiple dimensions and gain insights to manage default risk, recovery risk and portfolio return.

Risk-based Pricing

Enhance credit decisioning process by adequately pricing for credit risk involved in individual transactions and compare Expected RAROC with Realized RAROC at various levels of granularity.

Credit Risk Capital

We have assisted multiple banks in computation of regulatory and economic capital for their credit portfolios. Use our expertise in economic capital modelling (Multi-factor model that covers country risk, industry risk, borrower risk and geographical risk) and allocate economic capital to individual customers, industry and business units.

Credit Risk Policy Framework

Our team of risk experts helps in refinement of Credit risk policy framework to ensure compliance with regulatory requirements as well as industry best practices.

Stress Testing

We help banks and institutions in designing and implementing credit risk stress testing framework covering sensitivity analysis, scenario analysis (development of satellite models for different portfolios) and reverse stress testing.