- Banks
- Enterprise-wide risk management
- Bank Strategy & Profitability Management
- Treasury and Asset Liability Management
- Liquidity Risk Management
- Credit Risk Management
- Market Risk Management
- Applied financial engineering
- Basel II and regulatory compliance
- Compliance, regulatory and statutory reporting
- Systems integration
- Training and seminars
- Asset manager
- Insurance Companies
- Corporates
QuickCheck
In just three days, we can use our QuickCheck to prepare a tailored roadmap that will allow you to manage your credit business in accordance with a risk-oriented system. The QuickCheck covers internal rating models, standard risk costs or portfolio management, in accordance with the framework set out under Basel II. Our established procedures mean that our experts can provide you with a qualified response for your particular portfolio within a matter of days:
- Estimation of default risk
- Sample calculations on the impact on capital
- Calculation of your standard risk costs and costs of capital
- Cost estimate and rough timescale for the implementation of a risk-sensitive portfolio management system
Our experts assess your current position on the road to establishing an optimum portfolio management system. A decision tree of clearly delimited criteria is used to define the focus of the three to five-day examination. The process then begins on the basis of one of the three packages set out below.
Package 1
You have yet to implement an internal rating system, or your current procedure (e.g. scoring) does not yet fulfil either your own internal rating requirements or those set out in Basel II. In this instance, we focus on performing an analysis of your credit portfolio and aim to give you an idea of the options available for implementing an internal approach within your institution, a process which, naturally, takes all regulatory guidelines into account. In addition to validating your current procedure, we shall develop a production-release prototype that allows you to calculate default risks for individual loans and to create rating classes in accordance with Basel II. A forecast provides a guideline for determining your standard risk costs (margins). We also sit down with you to discuss the final stage - achieving a modern credit portfolio management system.
Package 2
You already have an internal rating system in place or are part of an inter-bank rating procedure, but your margin calculation procedure is not yet performed in a risk-sensitive way. In this instance, we can propose a variety of tried-and-tested methods for adequate credit margin calculation. The selection of risk-adjusted margin calculation methods is based on a precise analysis of the product structure and collateral for each individual loan in your portfolio. We can show you sample calculations based on a number of simple products and discuss the results with you. A forecast shows how risk-sensitive portfolio management can be achieved.
Package 3
You already have an internal rating procedure in place and your standard risk costs account for the specific risk attached to particular exposures. In this instance, the next stage involves implementing active credit portfolio management. The aim of the quantitative portfolio approach is to define the overall credit risk in view of borrower correlations, and to identify the effect of individual positions. This process involves quantifying the overall credit risk by means of credit value-at-risk (CVaR), and the proportion of individual positions by means of marginal CVaR. This sort of portfolio approach is a prerequisite for risk-sensitive portfolio management, because it is the only way that risk-adjusted performance indicators, such as RAROC, can be calculated. We analyse a sample portfolio that provides an adequate representation of your actual transactions using a quantitative portfolio approach. The results highlight a number of possible control functionalities. We then show you how risk-sensitive portfolio management can be implemented at your company.
How much does the QuickCheck cost?
The clear structure of the QuickCheck program guarantees you comprehensive results at a manageable cost.
The QuickCheck takes between three and five working days and is performed by one of d-fine's specialist teams on your company premises.
The total costs will be between €15,000 and €30,000 including all ancillary costs (plus statutory VAT). This price includes the Basel II-compliant rating prototype.
What do you have to do?
The analyses aim to identify all the material information in order to allow us to produce an optimum solution tailored to your particular lending business. Depending on the package selected, the corresponding data may have to be prepared and/or compiled in advance. Your own experts are involved throughout the analysis process and ensure that your expertise is taken into account at every stage.
How much notice do we require?
The date for the QuickCheck can generally be agreed one month in advance.
Which types of bank are best suited to the QuickCheck?
The QuickCheck is designed for any bank that wants to know for certain
- whether, for instance despite a low number of defaults, it is possible to calculate a valid default-risk estimate,
- whether the calculation of risk-sensitive margins in their area of business will result in competitive advantages, or
- whether correlation effects between different market segments can be exploited.
Who performs the QuickCheck?
The QuickCheck specialist team comprises three experienced employees. Their expertise in the packages set out above is based on the successful implementation of numerous projects in the respective fields.
What is the next step?
If you have further questions on the QuickCheck or would like more detailed information on the various packages, with no obligation, please contact:
Dr Stefan HengstmannTel +852 3711 5800
