United Kingdom

Credit Portfolio Management and Modelling 

We work closely with clients in developing more effective approaches to managing all aspects of their credit portfolio. This includes addressing infrastructure requirements, analytic tools, and insight to assess and understand risk.

What’s on your mind

 

  • Need to improve the assessment of portfolio credit risk?
  • Need to identifying risk concentrations in the portfolio?
  • Do you understand your correlation model?
  • Need to embed a portfolio management approach and treating risk consistently across the organisation?
  • Need to reconcile Economic and Regulatory capital?

 

Bringing you peace of mind 

 

We evaluate portfolio management capabilities, including organisational structure and positioning. Services include:

 

  • Portfolio Management review – assessment and benchmarking of existing operating models along with the interplay with key stakeholders including risk, origination, treasury, regulatory, group functions and trading.
  • Implementation – assist with setting up a new or existing Portfolio Management unit.

 

We work in close collaboration with our clients to help develop and implement bespoke credit portfolio models that are tailored to our clients’ portfolios and specific business objectives. These services cover:

 

  • 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.  

 

What’s in it for you? 

 

  • Benefit from our wide range of industry experience in the management of credit portfolios
  • Our in-depth insight and client experience can translate into advice and solutions for you drawing on lessons learnt from others which avoid common pitfalls, facilitate smooth and fast implementation, whilst meeting your business needs.
  • Draw on new and innovative analytical methodologies which we have developed; these have been adopted widely in the industry and have advanced the practice of portfolio management.
  • Successful, practical and implementable CPM solutions, based on our proven delivery credentials.
  • Work in a close collaborative way to ensure that your issues are fully understood and addressed.
  • Make use of KPMG’s wider range of specialist risk and regulatory services as required. 

 

Why KPMG? 

 

  • KPMG is a firm with a global network allowing us to draw upon a vast range of expertise with detailed local market knowledge to address the specific needs of our clients.
  • KPMG is a sponsor of the International Association Credit Portfolio Management. This allows us to contribute to the development of portfolio management and understand current issues. 

 

Case Study  

 

The CPM team have worked with a global bank to help enhance their portfolio management capabilities and has helped re-structure their current organisational design and strategy. The team also provided a bespoke model build for the suite of models needed to carry out full active credit portfolio management.

 

Related services 

 

  • New deal profitability assessment
  • Assessment of hedging impact
  • Portfolio valuation
  • Capital efficiency
  • Portfolio optimisation
  • Liquidity and Funding modelling
  • CPM business implementation and enhancement
  • Stress testing and scenario analysis
  • CVA and counterparty credit risk management
  • Exposure modelling PFE/EPE
  • Correlation modelling 

 

Contact

Guido Previde Massara

 

Guido Previde Massara

 

Director

Credit Portfolio Management

 

+44 (0) 20 7694 2493    

guido.massara@kpmg.co.uk

 

KPMG partners with IACPM



The International Association of Credit Portfolio Managers has selected KPMG’s Credit Portfolio Management (CPM) team as partner for its Annual Membership Survey. For further details please contact Etienne Hofstetter, Director CPM.

 

IACPM is an industry association of over 90 financial institutions. Its aim is to further the practice of credit exposure management.