ECL Methodology Modeling For

Large Housing Finance Company in India

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  • 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.