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Partners in Risk & Capital Management

Credit Portfolio Models

Measuring Credit Portfolio Risk: Models, Data and Beyond the Standard Approach

Credit Portfolio models continue to play a key role in measuring and managing credit portfolio risk throughout the industry. Although most market players have undergone (sometimes multiple) implementations during the last two decades, more and more are moving away from black-box vendor solutions to transparent custom implementations, where they also take control over the calibration data.

Our Approach

Fintegral has been implementing credit portfolio models for many years. We support our clients in every stage from design and development through to the implementation and calibration of the model. We are enabling clients to achieve full transparency in their modelling and data. Going beyond the standard CPM by customising the model is not an unusual task for us - we have implemented concentration risk add-ons, and CPMs merged with counterparty credit risk to allow for the measurement and monitoring of wrong-way-risks.

Our Experience

  • Design, development, implementation and calibration of a highly customised CPM that uses a C-CDS (contingent credit default swap) approach to allow for the measurement and monitoring of wrong way risks (in addition to the standard CPM features)
  • Development, implementation and calibration of standard credit portfolio models
  • Development and implementation of credit concentration risk add-ons