What it is
A production-grade CECL and credit stress testing orchestrated Solution. Ingests and harmonizes data, runs lifecycle loss estimation under baseline and stressed scenarios, produces allowance, attribution, and disclosures, and publishes governance artifacts back to ModelSight.
Data & ingestion
• Connectors for core/servicing systems, data lakes, warehouses, and external macroeconomic data
• History reconstruction, segmentation, and cohorting; prepayment/curtailment handling
• Data quality checks with rule results stored alongside model runs
Methodologies supported
• Vintage/roll-rate, cohort/LTD, PD-LGD-EAD, survival/term structures, segmentation by product/region/risk grade
• Point-in-time forecasts with macroeconomic drivers; discounting and amortized cost mechanics
• Qualitative adjustments (Q-factors) and overlays with full provenance
Model execution & orchestration
• PySpark pipelines and UDFs optimized for large portfolios
• Parameterized scenario engine (baseline, adverse, severe; custom bank scenarios)
• SAS-to-Python conversion patterns and validation harness for parity testing
• Reproducible runs via Jobs/Workflows, with run metadata, inputs, and outputs versioned
Monitoring, backtesting, and validation
• Backtesting actuals vs. projected loss; stability and calibration checks by segment
• Challenger/benchmark models; sensitivity and what-ifs
• Automated publishing of monitoring results and evidence into ModelSight
Reporting & disclosures
• Allowance roll-forward and waterfall analysis
• Reserve attribution by driver (mix, rates, PD/LGD/EAD, overlays)
• Segment-level reserves, coverage ratios, and scenario deltas
• Management decks and export-ready tables for financial reporting
Operations & controls
• Idempotent reruns with immutable snapshots of inputs/parameters
• Approval gates, separation of duties, and runbooks linked to ModelSight workflows
Deployment options
• Databricks on AWS or Azure; integrates with Snowflake/Redshift/Delta Lake
• Dashboarding via QuickSight/Power BI/Tableau
Call to action
Explore the interactive CECL/ST experience and discuss fitting the pipeline to your data and reporting cadence.
CONTACT