Commercial Credit Risk Solutions

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Credit risk refers to the risk due to unexpected changes in the credit quality of a particular party or issuer. Its quantification is critical for financial firms of all sizes in the financing industry.   

The creditworthiness of a potential borrower affects a firm's lending decisions since it is uncertain whether the firm will fulfil its credit obligation.  

Finquant's bespoke ready to use models compute such metrics as the probability of default (PD) at several time horizons, loss given default (LGD), expected loss (EL) credit measures at a loan level, and more. All are delivered in user-friendly cloud-based applications to meet the institution's specific needs. 

Information brochure: Help with CECL.

Information brochure: CreditRoot Tool.

• Evaluate conceptual soundness of internally or externally models 
• Assess the performance of the model through leading industry practices leveraging statistical analysis 
• Validate material model assumptions, methodologies and associated parameters on a recurring basis 
• Run outcomes analysis to determine the accuracy of the model output based on model objectives 
• Verify that the model assesses material credit risks of the portfolio and ensures proactive mitigation responses 
• Evaluate model interaction and integration within the enterprise-wide risk management system
• Provide comprehensive documentation for third party review
• Evaluate model compliance with established regulatory guidance on model risk management  

• Challenge internal credit risk rating models (PD, LGD, EAD, and more) 
• Access market risk, pricing, and valuation models (bonds, loans, credit instruments, etc.) 
• Improve managerial decision making