Analysis of valuation and impairment models for receivables
Debt portfolio management is a key area of management of companies from the financial services sector. Correct valuation of the fair value of the receivables held is crucial in making decisions regarding the management of the NPL exposure portfolio. On the other hand, proper validation of the applied impairment model determines the financial result and affects the company’s capital position.
Accurate information on the phenomena and trends occurring in the portfolio is an essential part of the process of managing current exposures. However, the information generated by the internal management system may sometimes be distorted by inadequate measures, non-validated models or outdated parameters.
Periodic evaluation of the applied solutions by an external advisor may contribute to the identification of potential deviations and help to confront the applied practices with the current trends in the industry.
Given the experience gained in the course of the implementation of several dozen projects in the field of valuation of portfolios of varying nature, portfolio claims analyses or impairment loss model analyses, CMT specialists can offer the analysis of the correctness of calculation of parameters:
- LGD (Loss Given Default),
- PD (Probability of Default),
- EaD, (Exposure at Default),
- LIP (Loss Identification Period),
- VaR (Value at Risk)
used in NPL valuation models, value loss models or IBNR-reserves models.