Loss and credit quality migration analysis for commercial and consumer loans
- Risk Management
A regional bank in the Western United States needed to analyze losses and credit quality migration of its portfolio of commercial, consumer and mortgage loans.
Prescio Consulting was requested to extract relevant data from their databases and implement a migration model with Markov forecasting method. The project called for thorough analysis of the client’s portfolio of products and data. Modification of the client’s data was required to extract relevant information required by the Average Loss Rate analysis and Markov forecasting model. This information included determining data for variables such as Outstanding, Commitments, Charge offs, Recovery, and LTVR among others. Prescio developed the application to extract the data in the format required by the Migration Model. Prescio proceeded to exceed the client’s expectations by both implementing the application software a nd training the client’s personnel in record time.
The client’s personnel recommended to senior management that Prescio Consulting address some of the Bank’s other Risk Measurement and Management issues as well as its quantitative and business process issues.