Cash flow and risk modelling

We create transparency and understanding about the opportunities and risks of investments in structured receivables portfolios. We create cash flow models, simulations and scenario calculations.

During the structuring phase of a new transaction we will assist you with:

• Data collected from different source systems
• Plausibility and completeness checks
• Risk analyses and risk report
• Failure analyses for credit rating agencies and banks
• Cash flow modelling
• Scenario calculations and simulations (e.g. Monte Carlo, historical)
• Graphically prepared detailed portfolio reports

Cross-portfolio or segment specific, we determine

• historical default and recovery rates (static and dynamic)
• CreditVAR, expected shortfall and other statistical risk and control variables

We can provide report data in compliance with
MaRisk requirements for

• Portfolio concentration analyses
• Stress tests
• Risk-bearing capacity calculations (ICAAP calculations)