Given the on-going turmoil in credit markets, a critical re-assessment of current capital and credit risk modeling approaches is more than ever needed.


Credit risk analytics aim to discriminate obligors and/or exposures in terms of default (PD), loss (LGD) and exposure (EAD) risk. However, losses need to be absorbed by capital in an absolute way! Hence, we aim to develop calibration procedures that come up with optimal cardinal measures of risk taking into account both past experience and future expectations. Therefore we identify which statistical technique works well on a time series of historical credit risk data and how survival analysis can be used to work with different time horizons including both point-in-time (PIT) and through-the-cycle (TTC) calibration.


Our team consists of experienced members who are expert in developing and implementing accurate and robust PD, LGD and EAD models for corporate, small and medium enterprises (SME) and the consumer sectors. This experience includes providing credit scoring such as application scorecard, behavior scorecard and collection scorecard for all consumer lending products, such as credit cards, installment loans and mortgages. With many successful assignments providing IRB approach and risk scoring to international and regional banks, we have deep industry insight and a broad array of industry benchmarks to support such initiatives.


Our services include provision of credit risk management, credit risk rating and support for underwriting, building scorecards for credit decisions, PD modeling, credit VaR modeling, periodic portfolio review and portfolio management functions, borrower financial and credit analysis and fraud analytics.