Credit Risk Loss Forecasting

Following The Analytics Boutique’s user-friendliness and governance principles, Credit Risk Loss Forecasting system focuses on building time series models for credit risk stress testing, credit loss forecasting and reserving and IFRS9:

    • Credit Risk Loss Forecasting system creates stress testing credit risk models (PD, LGD…) for credit loss forecasting under such scenarios, based on time series analysis, ARIMA, ARIMAX, Block bootstrapping, Lasso, Ridge and others.

  • Credit Risk Loss Forecasting system can be used to create macroeconomic, credit cycle or business models to forecast credit risk losses for the purposes of reserving, IFRS9 or credit stress testing.
  • Champion-challenger for identifying most robust and stable credit risk modelling  to be used in your stress testing, IFRS9, etc.
  • Projection tool permitting to estimate credit risk variable values under different credit risk stress testing scenarios

  • Storage of times series for credit risk stress testing, IFS9 models and other
  • Credit Risk Loss Forecasting system has full model governance applied to credit risk stress testing and IFS9 models: audit trail, user control, workflow, etc.
  • Extensive reporting by the push of a button of all credit risk modelsNo programming skills required in developing advanced credit risk models.

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