Credit Risk Analytics

Credit Risk Analytics & Insights: Overview

Risk can be of different type- credit risk, market risk and operational risk.

Credit Risk is uncertainty involved in counter party’s ability to meet the agreed obligation. When a financial institute or bank grants a credit facility or loan to a counter party or borrower, there is a risk in whether the counter party or borrower will be able to payback the outstanding balances.

Credit Risk Analytics is all about assessing, measuring and managing risk involved in granting credit facility or loan at an approval stage or various stages of the credit term.

Retail Credit risk Analytics is about

  • Assessing and estimating risk in underwriting – issuing credit card or giving a mortgage loan- credit risk
  • Measuring, Monitoring and Managing portfolio risk
  • Updating regulatory bodies on risk of the portfolio – regulatory reporting


Credit Risk Analytics typically involves

  • Building acquisition scorecard for managing risk at the source
  • Building behavioral scorecard to estimate and manage portfolio risk
  • Vintage analysis for monitoring portfolio risk, estimating
  • capital requirements, and stress testing analysis
  • Estimating level of portfolio risk and forecasting losses
  • Basel Models: PD-Probability of Default, EAD- Exposure at Default, LGD – Loss given default, and RR – recovery rate- Models
  • Model validation and documentation
  • Portfolio Stress testing and Sensitivity Analysis
  • Risk Based Pricing( RBP): For new acquisition or re-pricing an existing relationship