Integrating ECL Onto a Stress Testing Platform: Credit Risk Characteristics

There are three considerations an FI should address when considering methodological integration of ECL onto a stress test platform. In part three of this series, FRG examines how credit loss in the ECL process can leverage the changes in the credit risk profile of a portfolio during a stress scenario.

Integrating ECL Onto a Stress Testing Platform: Portfolio Composition

Financial Institutions must consider several factors when integrating the expected credit loss (ECL) process onto a stress test platform. In this final paper of our series, FRG addresses how to grow a portfolio that is internally consistent with a stress scenario.

Integrating ECL Onto a Stress Testing Platform: Scenarios

Integrating an ECL process onto a stress test platform requires careful consideration of several steps, including which scenarios to use and how to define scenario weights. Download this paper to read an overview of the reasoning and decisions FRG made as we implemented our CECL process onto an internal stress test platform.

Methodological Considerations For Integrating ECL On a Stress Testing Platform

Financial Institutions (FIs) are challenged to produce stress testing expected credit loss values that comply with IFRS 9 as well as CECL Standards.  There are two ways to address this challenge: a technological approach and a methodological approach. This white paper examines both strategies to help you decide on the best action for your FI.

Optimal Pacing for Private Capital Portfolios

Download this technical paper that explains FRG’s pacing model which uses PCF cash flows along with non-linear optimization to help clients construct their pacing plans.

Sample Climate Risk Framework for Consumer Lending

Updated Pandemic Economic Scenario

The global economy is changing rapidly as a result of the Coronavirus Pandemic. As new data has become available, FRG is releasing an updated version of our Pandemic Economic Scenario to help businesses assess and respond to the impact of COVID-19 on their operations. Download this file which provides two scenarios – a pandemic shock scenario based on control of the virus by the end of Q2 2020, and a pandemic recession scenario based on control of the virus not happening until the end of Q3 2020. The file also contains a SAS data set.

Pandemic Economic Scenario

FRG has received a number of requests from market participants to help them interpret the impact COVID-19 may continue to have on their businesses. In response, we are offering our Pandemic Economic Scenario for download at no cost. The Scenario contains forecasted macroeconomic variables, for use as-is or with your company’s modifications. The zip file also includes a SAS dataset.

VOR Scenario Builder: Obtaining Business Insight from Scenarios

Scenario Analysis is a useful exercise that can help companies with their strategic planning. Download this white paper by Jonathan Leonardelli to read how FRG’s VOR Scenario Builder solution streamlines scenario creation to make it easier for companies to use this process more often.

VOR Scenario Builder

Download this one page guide to FRG’s VOR Scenario Builder, which helps companies determine their exposure to economic events.

The Effect of Private Capital Liquidations – Transactions in the Growing Secondary Market

Download this white paper that explores how accurate modeling of probable Private Equity and Private Debt cash flows can help investors make informed secondary market business decisions.

The Big Picture Brochure

Download our overview brochure for an in-depth look at who we are and what we can do for you.

CECL Solution for Small to Medium Financial Institutions

Download this one-page guide explaining our new world-class technology solution for financial institutions facing CECL requirements.

CECL Scenarios: Considerations, Development, and Opportunities

Download this white paper discussing methodologies for achieving the “reasonable and supportable” expected credit loss forecasts required by FASB.

Current Expected Credit Loss: Why The Expectations Are Different

Download this white paper exploring the shift in risk management approaches brought about by the new CECL standard.

Macroeconomic Effects on the Modeling of Private Capital Cash Flows

Download this white paper improving on existing modeling efforts undertaken to address investors’ need for Private Capital cash flow information, and some of the methodology applied to achieve the results.


VOR Overview

Download an overview brochure about the VOR (Visualization of Risk) platform designed to help money managers better understand their portfolio risk and performance.

VOR Private Capital Forecasting

Download this brochure for more information about FRG’s VOR Private Capital Forecasting (PCF).

VOR Risk Premia Brochure

Download this brochure for more information about FRG’s VOR Risk Premia portfolio management tool.

VOR Performance Brochure

Download this brochure for more information about FRG’s VOR performance and attribution engine.

Private Capital Fund Cash Flows

Download an article that explores a potential solution to the problem of accurately forecasting capital call and distribution probabilities.

Extracting Value from Stress Testing

FRG Principal Dr. Sanjiv Talwar and Stuart Turnbull explore how firms can benefit by exploring stress testing to examine a wide array of issues in this paper, originally published by the Global Risk Institute.

The Operational Controls And Processes Tipping Point: Is Machine Learning The Answer?

Download this white paper that examines how technological advances can create create more efficient process and risk controls.

New Machinist Journal Vol. 1

Download the first in a series of journal articles exploring the New Machinists and their Artificial Intelligence and Machine Learning tools.

Real Time Learning: A Better Approach to Trader Surveillance (New Machinist Journal 1, no. 2)

Download an issue of the New Machinist Journal examining how Machine Learning could be applied to Trade Desk Surveillance, an area of risk management.

The New Machinist’s Process Flow (New Machinist Journal 1, No. 3)

Download an examination of the New Machinist’s process flow.

The New Machinist’s Toolkit: Heatmaps – Part I (New Machinist Journal 1, No. 4)

Heatmaps are a visualization technique to help build insight from available data. Download the latest issue to see how they fit in the New Machinist’s toolkit.

The New Machinist’s Toolkit: Heatmaps – Part 2 (New Machinist Journal 1, No. 5)

Dendrograms are a visualization tool that allows one to view the similarities among objects in addition to the “strength” of the similarity, and are a common addition to heatmaps. Download the latest issue of the New Machinist Journal to see how they can be used together to help identify relationships.

Why Is Trade Desk Surveillance So Challenging?

Download this white paper that examines how new technology can help monitor and detect problems at the trade desk.



Quantifying the Value of Electricity Storage in Dynamic Use Environments, Part 2

Download a paper by Dr. Jimmie Lenz that presents potential solutions for companies facing technological and demand changes in the U.S. Electricity Generation industry. Part 2 of 2.

Quantifying the Value of Electricity Storage in Dynamic Use Environments

Download a paper by Dr. Jimmie Lenz that examines the economics for companies that generate and distribute energy. Part 1 of 2.

Sales Practices – Understanding the Behaviors They Incentivize

Download a paper by Dr. Jimmie Lenz examining the use of commissions, bonuses, and other incentives to motivate salespeople.

Platform Services Overview

Download information about FRG’s Platform Services team, which provides a range of outsourced technology operations for your company’s risk products.

Why We Love Standards

Following a standard lets you focus on investment performance, rather than on its measurement.

An Introduction to the Improved SAS® Data Integration Studio Batch Deployment Utility on UNIX

Download a white paper prepared by Jeff Dyson, senior consultant, to learn how the updated batch deployment utility in SAS Data Integration Studio 4.901 gives the ETL Tech Lead a more efficient and repeatable method for administering batch jobs.



PMML & SAS®: An Introduction to PMML and PROC PSCORE

Download a white paper prepared by Andrew Gannon, risk consultant, to learn more about PMML language and its terminology, as well as an introduction to the PROC PSCORE method in SAS.

The Basel Games

Evaluation of Basel I, II and III

Superior Returns

GIPS Standards help ensure a standardized approach to tracking the performance of an investment portfolio.

Solvency II Overview

Download an overview of Solvency II regulations and how FRG can help.

Playing With History Can Affect Your Future

How handling missing data can impact parameter estimation and risk measure.

Flex and SAS Testing Module

Allows administrators to test SAS infrastructure for a Flex application deployment.

FINCAD F3 SDK Brochure

Download FINCAD’s F3 SDK Brochure to find out more about their new, revolutionry technology.

FINCAD Case Study

Download a case study authored by FINCAD, describing integrated services that FRG has provided to their clients.

Dodd-Frank Overview

Download an overview of Dodd-Frank regulations and how FRG can help.

Dodd-Frank Act: Implications for Risk Professionals

Download a white paper prepared by Jonathan Leonardelli, FRM, covering the implications of the Dodd-Frank act for risk professionals.

BB&T manages risk concentration with SAS

Download a customer success story authored by SAS, describing projects delivered jointly with FRG to BB&T.

Basel III Overview

Download an overview of the Basel III regulations and how FRG can help.