Our research work has led to the development of a number of proprietary models for use in risk management and, in more recent years, to assisting lenders reporting under the Capital Requirements Directive (Basel II). We are able to provide a number of proven consulting services and solutions.

CAPITAL REQUIREMENTS DIRECTIVE (BASEL II)

We illustrate how our services relate to the Basel II Capital Requirements Directive here.

SCENARIO ANALYSIS AND STRESS TESTING

Our Acadametrics Scenario Analysis solution applies hazard rate loss assessments at the level of each individual mortgage account to deliver an accurate portfolio analysis of potential liabilities under a variety of economic conditions. Acadametrics Scenario Analysis is currently employed by lenders for risk evaluation and portfolio valuation and to support waiver applications. Further developments underway within our risk modelling discipline include prototyping a desktop mortgage risk assessment model, monte carlo simulation for credit risk models and cash flow analyses. (more about scenario analysis and stress testing and our desktop applications here)

MODEL VALIDATION

Dr Satchell leads our model validation work which comprises a full validation of the rating system. More detail is provided here. Given the challenging nature of the validations which we have undertaken, we have significant experience in working on low default portfolios and expert judgement models.

ACADAMETRICS LGD DATA

Many lenders lack sufficient historic data to establish “downturn” and “worst case” estimates for comparison with their “long run average” output. We provide LGD data on properties repossessed over the period 1990 to 1995 to benchmark and calibrate models for risk assessment and the Capital Requirements Directive. more detail is provided here.

PROPERTY PORTFOLIO REVALUATION

Our Acadametrics House Prices are based upon the same Land Registry data used to create our FT House Price Index, but are purpose-designed for revaluation work at the lower level of data granularity required for accuracy. Our Acadametrics House Prices are used as an integral part of our Acadametrics Scenario Analysis scenario stress testing procedure, and are employed on a stand alone basis by lenders wishing to measure current LTV or property owners requiring a regularly updated portfolio value. Our Property Portfolio Revaluation service includes the supply of confidence limits to support individual loan and whole portfolio accuracy assessment, as required by the FSA. Details are provided here.

ACADAMETRICS RESEARCH SUPPORT

We provide clients with support and thought leadership analysis and solutions to promote understanding and better decision making. Our substantial study Understanding Downturn Default includes a comprehensive commentary and our own default data to provide a unique insight into the dynamics and aftermath of the 1989-1991 “worst case” UK housing market recession. Additionally, our Arrears and Possessions Forecasting Model (see more here) provides the model which clients can use in-house with CML data to provide forecasts of future default at national level under any macroeconomic scenario.