Credit Risk

Our credit risk experts help Banks and FIs on the identification, modelling, measurement, monitoring and management of their credit risks. We provide clients with a full range of wholesale and retail credit risk management and workflow improvement services.

Our Services

Policy Framework

Review credit risk governance framework
Design credit and credit risk management strategies
Develop credit risk related policies and procedures

Credit Rating Models

Credit risk model validation
Develop rating models and scorecards
Review and enhance rating philosophy

Credit Risk Capital

Diagnostic review of existing capital computation frameworks
Gap assessment for transition to advance approaches (IRB)
Examine capital linkages and downstream impacts

Risk Based Pricing

Review risk based portfolio strategies
Design risk based pricing frameworks
Monitor risk-return measures such as RAROC

Credit Risk Modelling

Develop PD, LGD and EAD models
Review and back-test existing statistical models
Compliance of modelling techniques with relevant regulations

Workflow Optimisation

Design work flow optimisation framework
Algorithm driven solutions to optimise processes
Establish rule-based efficiencies in an automated environment

Basel IV - Capital Computation Mind Map

Mind maps are used to organize information depicting ideas, concepts or hierarchical relationships in a graphical way. Basel IV capital computation mind maps focus on laying out the process of computing capital requirements in a series of steps.

The capital computation approaches for Credit Risk, namely, Standardised Approach (SA) and Internal Ratings Based (IRB) Approach have been mind mapped along with the Credit Risk Mitigation (CRM) techniques, used to reduce or transfer credit risk. We have covered the following mind maps

Standardised Approach

The Standardised Approach mind map is prepared based on CRE 20 guidelines of the Basel Framework to be implemented by 1st January, 2023.

The mind map covers the RWA computation for various Basel asset types in a series of steps and provides references to requisite guidelines. The asset classes covered under the mind map include Sovereigns, PSEs, MDBs, Banks, Security Firms, Covered Bonds, Corporates, Retail Exposures, Real Estate Exposures, Subordinated debt, equity & other capital instruments, Defaulted Exposures and Other Assets.

While traversing from left to right, the mind map nodes can be expanded by clicking on the numbered boxes and collapsed clicking on the minimize button on the right hand side of the nodes. In case of decision boxes, a green colored path signifies the “Yes” option and red colored path signifies the “No” Option.

View Mind-map: Click Here to view

Credit Risk Mitigation

The Standardised Approach mind map is prepared based on CRE 22 guidelines of the Basel Framework to be implemented by 1st January, 2023.

The mind map covers the Credit Risk Mitigation approaches available for the Standardised Approach and provides references to requisite guidelines. The mind map lays out the On-balance sheet netting, Collateralised transactions (both Simple Approach and Comprehensive Approach) and Guarantees as CRM techniques and also proceeds to describe RWA computation under two scenarios – 1) where a bank has opted for Simple approach for collateralised transactions and 2) where a bank has opted for the Comprehensive Approach for collateralised transactions.

While traversing from left to right, the mind map nodes can be expanded by clicking on the numbered boxes and collapsed clicking on the minimize button on the right hand side of the nodes. In case of decision boxes, a green colored path signifies the “Yes” option and red colored path signifies the “No” Option.

View Mind-map: Click Here to view

IRB Approach - Retail

The Internal ratings Based Approach (IRB) mind map is prepared based on CRE 22, CRE 31, CRE 32 and CRE 35 guidelines of the Basel Framework to be implemented by 1st January, 2023.

The mind map covers the RWA computation for Retail asset types in a series of steps and provides references to requisite guidelines. It lays out calculation of different risk components – Probability of default, Loss Given Default, Exposure At Default, Correlation computation and Expected Loss computation and shows how different risk components are used to derive RWA.

While traversing from left to right, the mind map nodes can be expanded by clicking on the numbered boxes and collapsed clicking on the minimize button on the right hand side of the nodes.

View Mind-map: Click Here to view

IRB Approach - Non Retail

The Internal ratings Based (IRB) Approach mind map is prepared based on CRE 22, CRE 31, CRE 32 and CRE 35 guidelines of the Basel Framework to be implemented by 1st January, 2023.

The mind map covers the RWA computation for various Basel asset types in a series of steps and provides references to requisite guidelines. The asset classes covered under the mind map include Sovereigns, Banks and Corporates. The mind map lays out calculation of risk components – Probability of Default, Loss Given Default, Exposure at Default, Correlation, Maturity adjustment and Expected Loss Computation under both - 1) Foundation Approach 2) Advanced Approach and shows how different risk components are used to derive requisite RWA.

While traversing from left to right, the mind map nodes can be expanded by clicking on the numbered boxes and collapsed clicking on the minimize button on the right hand side of the nodes.

View Mind-map: Click Here to view

Credit Risk Mitigation, IRB

The Internal rating Based Approach (IRB) mind map is prepared based on CRE 22, CRE 32 and CRE 36 guidelines of the Basel Framework to be implemented by 1st January, 2023.

The mind map covers the Credit Risk Mitigation approaches and provides references to requisite guidelines. The mind map lays out Collateral Recognition, On-balance sheet netting and Guarantees as CRM and proceeds to showcase Loss given Default computation.

While traversing from left to right, the mind map nodes can be expanded by clicking on the numbered boxes and collapsed clicking on the minimize button on the right hand side of the nodes. In case of decision boxes, a green colored path signifies the “Yes” option and red colored path signifies the “No” Option.

View Mind-map: Click Here to view

Why Aptivaa?

A risk expert in the area having worked with over 100 global enterprises to help them manage credit risk
Tailored solutions meeting specific requirements
Strong team of risk quants helping Banks and FIs adopt best practices

Key Contacts

Ashley Cherian

Director & Delivery Head (MEA & India Region)

Kautuk Choubey

Manager

Recommendations

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PD Calibration- A Delicate Balancing Act

As discussed in our previous blog, PIT PD describes an expectation of the future, starting from the current situation and integrating all relevant cyclical changes & all values of the obligor... Read More

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Assisting a large UK bank attain IRB Compliance

Aptivaa developed several PD and LGD models for Retail and Corporate portfolios and delivered a strategic roadmap to the client to attain IRB Compliance. Read More

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Demystifying PD Terminologies

A key metric that summarizes the credit worthiness of a bank`s obligor is the Probability of Default (PD). Besides credit worthiness assessment and capital computation under IRB, PD is one.. Read More

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Development of default and recovery models for a mid tier bank in Canada

Aptivaa assisted the Bank in the development of PD, LGD, EAD models, preparing an implementation... Read More

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Independent validation & checking of the rating models for Corporate portfolios for a mid-size bank in USA

Aptivaa developed statistical PD model for Corporate portfolio of the Bank and supported in calibration of the... Read More

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Development of a Basel II A-IRB complaint framework for facility risk assessment for a large banking group in USA

Aptivaa built LGD models for the Bank's portfolio in Real Estate, Corporate Lending, Asset Backed Lending and Leasing. Read More

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Development of rating models for a commercial real estate portfolio in a large USA based Bank

Aptivaa's deliverables to the client included the review and validation reports of existing models, along with the... Read More

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Assisted a large banking group in GCC to achieve compliance with Basel II Credit Risk Internal Rating Based (IRB) Approach

Aptivaa helped the client in implementing Basel II Credit Risk IRB approach and assisted them in submitting their IRB... Read More

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Credit Rating Model Development for a major Bank in Africa

Aptivaa helped the client to generate quantifiable credit risk ratings for Corporate finance, Project finance and Structured Trade finance... Read More

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Development of Credit Risk Scorecards for Retail Lending portfolios for a large bank in Middle East

Aptivaa provided new Application scorecards to the client which significantly improved the performance statistics over the existing Bureau... Read More

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Development of Macroeconomic models for economic sectors of the bank and development of Economic Capital Model

Aptivaa helped the client establish the linkages of macroeconomic variables with economic capital through the use of... Read More

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Quality Assurance of the Credit Process and Credit Assessment in one the developmental banks in GCC

Aptivaa carried out a credit audit of client's credit processes, credit assessment and a review of their portfolio quality to identify the weaknesses in... Read More

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Annual review of the validation process for Wholesale Credit Portfolios for a large Bank in GCC

Aptivaa conducted successive independent reviews of the model validation work on several portfolios performed by the Bank's internal... Read More

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Vendor Selection and Automation of entire Credit Appraisal Process across Corporate Banking Division

A leading regional financial services group headquartered in Qatar and operates through its subsidiaries spread across MENA... Read More

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Credit Risk

Credit Risk

Our Services

Policy Framework

Credit Rating Models

Credit Risk Capital

Risk Based Pricing

Credit Risk Modelling

Workflow Optimisation

Basel IV - Capital Computation Mind Map

Standardised Approach

Credit Risk Mitigation

IRB Approach - Retail

IRB Approach - Non Retail

Credit Risk Mitigation, IRB

Why Aptivaa?

Key Contacts

Ashley Cherian

Kautuk Choubey

Recommendations

Credit Risk

PD Calibration- A Delicate Balancing Act

Credit Risk

Assisting a large UK bank attain IRB Compliance

Credit Risk

Demystifying PD Terminologies

Credit Risk

Development of default and recovery models for a mid tier bank in Canada

Credit Risk

Independent validation & checking of the rating models for Corporate portfolios for a mid-size bank in USA

Credit Risk

Development of a Basel II A-IRB complaint framework for facility risk assessment for a large banking group in USA

Credit Risk

Development of rating models for a commercial real estate portfolio in a large USA based Bank

Credit Risk

Assisted a large banking group in GCC to achieve compliance with Basel II Credit Risk Internal Rating Based (IRB) Approach

Credit Risk

Credit Rating Model Development for a major Bank in Africa

Credit Risk

Development of Credit Risk Scorecards for Retail Lending portfolios for a large bank in Middle East

Credit Risk

Development of Macroeconomic models for economic sectors of the bank and development of Economic Capital Model

Credit Risk

Quality Assurance of the Credit Process and Credit Assessment in one the developmental banks in GCC

Credit Risk

Annual review of the validation process for Wholesale Credit Portfolios for a large Bank in GCC

Credit Risk

Vendor Selection and Automation of entire Credit Appraisal Process across Corporate Banking Division

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