Risk Models and Systems

Banks, corporates and other organizations face financial and non-financial risks viz., credit, interest rate, currency, liquidity, equity price, commodity price, legal, regulatory, reputational, operational, etc. B2K Analytics can offer services that assist organizations to develop risk models and systems commensurate to their needs and make it compatible to their risk management architecture.

Credit Risk Management Services

• Development of rating and scoring models
  • Development of Internal rating models / scorecards for wholesale and SME segments and retail – 70+ industry specific templates developed to cover entire portfolio and retail and consumer segments covered.
• Comprehensive model validation services
  • Review model documentation, prepare detailed documents where required
  • Quantitative validation – Gini coefficient, ROCE, K-S test, ordinality test, etc
  • Root-cause analysis for defaults / multi-notch downgrades from high rating categories. Fine-tuning models based on this.
• Early warning model based on financials of a company and an economic scenario overlay
• Development of Expected Loss (EL) models for provisioning under IndAS
• Vendor Grading Model / Framework
• Development of Credit Limit Management Framework for Banks/FIs or Corporates

Market Risk Management Services

• Computation of portfolio PV01
• Estimation of VaR for all types of instruments
• Computation of Interest Rate Risk in the Trading Book
• Preparation and Validation of Stress Testing Policy

Operational Risk Management Services

• Preparation of policies on Loss Data Management/Risk Control & Self Assessment/Key Risk Indicators
• Estimation of historical loss data and loss events