Risk Analytics

Proposal Defence for building a

Credit Risk Analytics App for a Banking Client

Case Study 1 [to be done in groups]

Arup Duttaroy | Aug 2022
Objective of the Assignment
CONTEXT
§ One of your Prospect in the Banking Industry have floated an RFP to build a Credit
Risk Analytics App and you were the Deal team who have worked on the proposal
and submitted it to the client, on behalf of your company
§ You have qualified and reached the round 2 of the RFP process, where Client have
invited you for an Orals presentation to defend your proposal

THE NEED
§ You need to prepare the Proposal Defense Presentation Deck

§ And do a dry run amongst your team to prep for the Orals, which is scheduled
early next week

2
Specific Requirements of the RFP
§ A global financial bank’s Chief Risk Officer wished to develop an application which would help him/her
visualize consolidated exposures across products, sectors and credit ratings of its portfolios
§ Build a Credit Risk Analytics App using a BI Tool of choice, which is best viewed in a tablet like IPAD
§ Consider the following data sources:
§ Loans by Counterparty with Default indicator
§ Mortgage Loan Portfolio Details with their Sector, Ratings, Portfolio Value, Delinquency Count information
§ Product Risk Exposure Data
§ Credit Rating data for individuals from an external Credit Bureau
§ The App should cater to the following analytical requirements (answers to business questions):
§ Where do we stand as far as overall Risk Profile of the Bank w.r.t. to Key Risk Indicators at a point in time
§ Whether the KRI’s have been better or worse in the last 13 months (i.e., the trend)
§ How are we doing month over month w.r.t. Delinquency Rate, Risk Adjusted Return on Capital (RAROC), Expected Loss,
Risk Adjusted Assets Value and the Loss Given Default
§ How is our total portfolio of mortgage loans distributed by Credit Scores and what is the Delinquency Rate in each of
those categories?
§ How is our total portfolio of mortgage loans distributed by Industry Sectors and what is the Delinquency Rate in each
of those sectors?
§ How are various Products performing in terms of Exposure At Default & Loss Given Default

3
Additional Instructions
§ Create 10 groups (8 member in each group)
§ First create an Annoted Table of Content for the Orals Deck in PowerPoint which should cover the following
at a minimum:
§ Understanding of the Requirements
§ Proposed Solution
§ Methodology & Approach along with a tentative timeline
§ Team structure and Governance
§ Commercials (Rough Order of Magnitude)
§ Assumptions & Dependencies
§ Divide the sections within the team members
§ Each member creates the content of their respective sections
§ The “Solution” section should contain a high-fidelity wireframe mockup of the proposed IPAD App, which
should demonstrate use of fit-for-purpose visualizations and a commentary of each of the App interface
elements
§ Do peer review to review each other’s content
§ Each group then take turns to defend their proposals – This should take 15 min presentation by each group
including 5 min for Q&A from the audience

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