ECL Methodology Modeling For
Large Housing Finance Company in India
- A large housing finance company in India.
- They wanted an ECL framework for their mortgage-loan book and stress test different macro factors scenarios on it.
- We created the annualized rolling NPA rates using the historic product wise data and analyzed the behaviour.
- The trend and developed quarterly annualized PDs for each bucket which was further used in performing macro-economic modelling.
- We then analysed the historic run-off rate to project repayments which used to calculate the maturity and finally developed the ECL framework.
- Stress test of the ECL with the help of different macroeconomic scenarios which can occur during the forecast such as U-Shaped and V-shaped.
