01 · Capabilities
Credit
Credit questions usually come down to a cash flow, a collateral value, and a set of assumptions nobody has written down. We build the models that make those assumptions explicit, test them, and hand them over with the documentation a credit committee expects.
What you might be trying to decide.
Engagements start from a decision. These are the kinds of questions credit work usually begins with.
- 01Should we buy this whole-loan tape at the offered price, and what would change our mind?
- 02How do prepayment and default assumptions move the value of this pool under a rate shock?
- 03Which borrowers in this portfolio are most likely to breach a covenant in the next four quarters?
- 04What is the distribution of cash flow at risk across this book, not just the expected loss?
Work we can scope.
Capabilities are areas of work, not off-the-shelf products. Each is scoped to the question, and its status is shown honestly.
| No. | Capability | What it covers | Form | Status |
|---|---|---|---|---|
| CR-01 | Loan tape analytics | Ingestion, scrubbing, pricing, and risk analysis for whole-loan tapes. | tool | Needs Confirmation |
| CR-02 | Securitization data | Loan- and pool-level performance data extracted from SEC-filed securitizations. | data | Needs Confirmation |
| CR-03 | Mortgage analytics | Prepayment forecasting, spec pool pricing, and pool splitting. | model | Needs Confirmation |
| CR-04 | Covenant monitoring | OC/IC tests, triggers, and breach prediction for securitized portfolios. | tool | Needs Confirmation |
| CR-05 | Cash flow at risk | Monte Carlo cash-flow simulation for credit risk assessment. | model | Needs Confirmation |
| CR-06 | SMB and consumer underwriting | Cash-flow-based underwriting models. | model | Needs Confirmation |
| CR-07 | MCA portfolio analytics | Investor reporting and risk surveillance for merchant cash advance portfolios. | tool | Needs Confirmation |
| CR-08 | Private credit analytics | Direct lending benchmarks, independent valuation, and NAV verification. | model | In exploration |
| CR-09 | Private credit loan database | Loan-level direct lending data from public BDC filings, including a direct lending index replication. | data | Needs Confirmation |
| CR-10 | Rating agency ratings tool | Predicts the rating outcome of a proposed securitization structure. | tool | Needs Confirmation |
| CR-11 | Loan portfolio stress testing | Scenario-based loss forecasts and capital impact for credit portfolios. | model | Needs Confirmation |
| CR-12 | Climate risk scoring | Transition and physical climate risk for credit and mortgage portfolios. | model | Needs Confirmation |
| CR-13 | Loan performance data consortium | Contributed-data benchmarking across loan products. | data | Needs Confirmation |
| CR-14 | Asset-backed finance research | Securitization mechanics, deal deep dives, and loan modeling methodology. | research | Needs Confirmation |
Form: data · model · tool · researchStatus reflects the internal portfolio inventory and is updated as work is confirmed
How we approach it
- Monte Carlo cash-flow simulation with disclosed distributions and seeds
- Prepayment and default curve estimation, with vintage and burnout effects stated
- Tape stratification, missingness audit, and cohort definitions before any pricing
- Scenario design that separates economic assumptions from deal mechanics
- Covenant and trigger logic coded from the indenture, not summarized from it
What an engagement produces
- Assumption register with bounds and sources
- Documented model code and a model contract stating what it is not designed for
- {"Validation memo"=>"backtests, challenges, failure cases"}
- Review-ready figures with a table behind every chart
- Method note for the credit committee
Related research
All notes →Related work
All work →Have a credit question?
Bring the decision and whatever evidence you have. We will tell you what kind of engagement fits, and what it would produce.
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