Helping a FTSE-100 UK life insurer gain regulatory approval for their lending book
A UK Life Insurer, keen to get regulatory approval for a large CRE loan book,
and thus lower levels of regulatory capital, is using PROMS to model the risk in each loan.
At the portfolio level they model the downstream effects on their
Matching Adjustment portfolios which feeds the asset liability matching models with accurate
cash-flow distributions.
Icon
PROMS lender modules chosen by client:
- Cash-flow projections (Stochastic)
- Loan risk rating
- API integration with down-stream models
- Market analysis
- Risk metrics - PD, LGD, EL, MPL
- Additional loan covenants
- Tenant grade migration matrix
- CECL, IFRS and regulatory reporting
- Stress testing - CCAR