The Basel II regulatory regime requires that senior management must not only sign off the risk management approach but must also demonstrate an understanding of the processes and procedures endorsed. A recent guidance note is available here. Article 123 of the CRD specifies that ICAAP is a process to ensure that the “management body (both supervisory and management functions)…adequately identify, measure, aggregate and monitor the institution’s risks”.

Acadametrics recognises these requirements and it is our standard practice to provide reports covering the context, theoretical basis and practical application of our modelling and analysis techniques. We also attend face to face meetings designed to fully explain the concepts and to answer any queries.

SATCHELL CHAN DEFAULT FORECASTS

An understanding of how future macroeconomic scenarios might affect future downturn default at national level is valuable for an economist and a prerequisite to an understanding of how an individual lender’s portfolio might be affected. Our Satchell Chan Default Forecasts (SCDF) service provides annual forecasts for default at the level of the national mortgage book as represented by CML data. Forecasts are provided under our four standard macroeconomic scenarios, including the “worst case”, and can also be provided under scenarios of the client’s choosing, at an additional subscription. Satchell Chan Default Forecasts can, thereby, also provide a national default forecast, under the same macroeconomic scenario as the client may be using, as a benchmark for internal own-portfolio forecasts.

Satchell Chan Default Forecasts provides valuable information to management for their FSA Arrow 2 discussions and ICAAP assessments. The SCDF Prospectus and subscription details are available here

UNDERSTANDING DOWNTURN DEFAULT

Our Understanding Downturn Default (UDD) publication will also prove invaluable during Arrow 2 and ICAAP procedures. This publication provides an analysis of the two principal post-war housing downturns, in general, and of the 1989-91 “worst case”, in particular.

Understanding Downturn Default investigates the drivers of both Probability of Loss (PL) and Loss Given Default (LGD) and includes unique PL/LGD data from the Acadametrics Downturn Default Database, illustrations of which are provided here.

Understanding Downturn Default is an Acadametrics research paper provided free of charge here.