Global

Details

  • Service: Advisory, Risk Consulting, Financial Risk Management
  • Industry: Financial Services, Insurance, Investment Management, Capital Markets, Banking
  • Type: Business and industry issue
  • Date: 9/27/2011

Credit Portfolio Management 

Credit Portfolio Management
The Credit Portfolio Management and Modelling service provides tailored advice and assistance to our clients across a full range of credit portfolio risk measurement and management activities.

Aim

We aim to work closely with our clients to help them develop the infrastructure, tools and insight to assess risk and manage their credit portfolios more effectively. Our wealth of practical industry experience and bespoke modelling capability along with our new and innovative thinking helps our clients enhance their credit portfolio management practices. Our services are offered to banks, insurers, fund managers, government agencies, corporates and any other institution which is faced with the challenge of managing credit portfolio risk.

 

Key Issues

  • Improving the assessment of portfolio credit risk
  • Enhancing portfolio performance and profitability
  • Determining capital requirements and risk appetite setting
  • Identification of concentration risk
  • Pre and post deal profitability analysis
  • Moving towards a more active management of credit portfolio
  • Embedding a portfolio management approach and treating risk consistently across the organisation
  • Portfolio valuation and mark-to-market analysis
  • Meeting regulatory requirements (including scenario analysis and stress testing)
  • Integrating credit risk with other risk types

 

Credit Portfolio Management Services

As part of our credit portfolio management services we review portfolio management capabilities, including organisation structure and interplay with other functions including risk, origination, treasury, middle office, regulatory, group and trading. The scope can include people, systems, data, processes, performance measurement and governance. Services include:

 

  • Portfolio Management review – assessment and benchmarking of existing operating models and recommendations for improvement.
  • Implementation – advise and assist with setting up a new or progressing an existing portfolio management unit towards full active credit portfolio management.

 

Credit Portfolio Modelling Services

Working in close collaboration with our clients, we help develop and implement bespoke credit portfolio models - tailored to our client portfolios and their specific business objectives. Based on our understanding of the pros and cons of existing market approaches and our own cutting-edge methodologies, we work with our clients to address risk aggregation, new and existing deal profitability assessment, risk allocation, valuation, portfolio optimisation etc. Team members have produced innovative research in this area over the past 10 years which has been widely accepted in the industry. Services include:

 

  • Model review – assessing and suggesting improvements to existing models.
  • Build or buy decisions – comparing relative benefits of internal vs. external vendor solutions.
  • Bespoke model implementation – tailored quantitative credit portfolio risk measurement and management models.
  • Correlation modelling – helping clients assess and understand the impact of correlation and systematic risks on their portfolios.
  • Exposure modeling – addressing potential future exposure (PFE) and expected positive exposure (EPE) requirements.
  • Credit valuation adjustment (CVA) and Internal Model Method (IMM) requirements – providing modeling and advice to address regulatory requirements and assessment and enhancement of current capabilities.
  • Liquidity and funding risk modeling – assisting clients improve their capability in this area by deploying improved and insightful analytics to aid decision making.

 

Connectivity

KPMG has a global coverage, operating in 144 countries with more than 137,000 professionals working around the world. Our global network allows us to draw upon a vast range of expertise with detailed local market knowledge to address the specific needs of our clients. This includes 1,600 financial risk management specialists serving the worlds largest financial institutions.

 

KPMG is a sponsor of the International Association Credit Portfolio Management.

 

For further information about any aspect of the CPM advisory services listed here please contact:

Guido Previde Massara

+44 (0) 207 694 2493