Credit Portfolio Models

Risk Measurement and Portfolio Optimisation

Since the financial crisis of 2008 regulators have been challenging financial services firms to better identify and measure portfolio risk. They see two areas as most in need of improvement: effective identification and analysis of risk across the firm as a whole; and the need to better assess risk concentrations such as those pertaining to single names, sectors or countries. Fintegral provides solutions in these areas for both the banking and insurance industries.

Our Approach

Fintegral has proprietary implementations of the main types of credit portfolio models (including Credit Metrics and CreditRisk+) that can be used to analyse credit and concentration risk. We also use them as templates to design bespoke credit portfolio models in a banking or Solvency II context, or to support their calibration.

Our Experience

  • Development and implementation of a full-blown credit portfolio model for a major Swiss insurance firm
  • Improvement and calibration of a credit concentration and migration model for a German bank
  • Development and implementation of a model to quantify credit concentrations for large local banks in the UK and Israel
  • Model risk review of a highly material credit portfolio models system used by a large UK bank for their global Fixed Income books in all legal entities

Read more – Fintegral Case Study: Credit Portfolio Models