Specialised risk management and measurement

Credit risk measurement and management for non financial institutions

Reply uses historical evidence and a scenario-based approach to model default rates, exposure at default and loss given default. These parameters are used to generate a distribution of potential losses. Economic capital is determined from the loss distribution and then allocated down to business areas to cover credit losses.

Reply know-how covers all functional, technical and organisational aspects in all phases of a risk model development project: analysis, planning and conceptual model design, model build, implementation and testing, migration and roll-out, user training and model performance monitoring.

Reply approach to credit risk is similar to that adopted for financial institutions, which you can view here.

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