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| From supporting Basel II compliance programmes, to providing advice on methodologies and model management, we have expertise in improving banks’ credit risk measurement capabilities. |
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The team calls upon a wide range of analytic methods to solve problems. These techniques are used to analyse complex data and build predictive models. We deploy scorecards built using mainstream, regression-based methods of development, as well as models based on less classical, non-parametric methods.
| We have substantial experience developing, modifying, transferring, and validating the following Basel-related models: |
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Probability of default (PD) models |
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Loss-given-default (LGD) models |
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Exposure-at-default (EAD) models |
To complement our experience with building PD models, White Kite has also developed a set of advanced methods for calibrating PD models in low default environments.
Recent experience working with multiple low default portfolios has led to the development of several specialised methodologies for building models in this domain. In particular, we use advanced approaches to the elicitation of expert opinion and the seamless integration of these views into a formal statistical framework.
In addition to developing models from scratch, White Kite also has experience ‘transferring’ models from one portfolio to another. Large banks often develop models for one portfolio that have utility for a similar portfolio in another area of the bank. To address this issue, we have developed a process for systematically transferring and re-calibrating models, allowing for varying degrees of data integrity.
LGD and EAD models continue to create problems for banks in their pursuit of Advanced status under the IRB framework. This is an area in which White Kite has considerable scope for solving problems as the paucity of data renders most traditional methods ineffective. These models are very similar to problems tackled by other disciplines (such as Operations Research) where a high performance classifier needs to be developed in a low data environment. Formal integration of expert views can be critical in these cases and the team has multiple approaches to this issue.
Outside of modelling and analytic work, White Kite has provided written technical assessments of credit risk methodologies. This technical survey was drafted to assist in the strategic selection of a particular credit risk modelling approach.
| White Kite’s experience includes a wide range of retail and wholesale portfolios: |
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Private banking and offshore financial sectors |
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Insurance and reinsurance including captive insurers |
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Multiple property sectors including both development and investment, commercial and residential |
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Small-to-mid corporates |
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Retail sectors for premier and private banking segments |
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| White Kite: +44 (0) 207 234 9470 |
| Email: risk@whitekite.com |
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