Our risk-migration based approach leverages your internal risk rating system to develop reliable, repeatable and institution-specific credit loss estimates. Coupled with impairment-specific reserves, our CRMA model can also apply qualitative and environmental factors to round out the reserve estimate.
Our patented Credit Risk Migration Analysis estimates formula-based (non-impaired) reserves using Probability of Default ("PD") and Loss Given Default ("LGD") parameters. These are informed by historical risk-grade migration and net-charge-off data.
Our ALLL model includes a Qualitative & Environmental (Q&E) module that offers a consistent and efficient process for documenting management judgment around reserves. We provide automated visual context culled from public and proprietary systems in order to simplify and standardize the Q&E process for management.
Q&E is intended to help proactively identify reasons the future may differ from the past and ensure such risk is reserved for and monitored. As such, Q&E is part-and-parcel of your bank’s enterprise risk management.
We have worked with CRMa for years in providing us with stress testing of our loan portfolio, as well as assistance with our allowance for loan and lease losses model. They have proven to be a great partner for our bank and their products and services have been a great asset to all levels of our organization.
Director of SEC Reporting and Accounting Policy
Bank of North Carolina