Case Study: a leading independent asset managing company improves portfolio credit risk transparency with S&P Global Market Intelligence

Best-Practice Approach for Calculating Portfolio Credit Risk

A leading independent asset managing company, an independent asset manager specializing in private debt strategies, wanted a more transparent way to measure credit risk as it pursued additional mandates. Its risk team sought an expected credit loss-style framework with point-in-time probabilities of default and macroeconomic inputs, and turned to S&P Global Market Intelligence for support and methodology.

S&P Global Market Intelligence implemented its Credit Assessment Scorecards with an IFRS 9 and ECL impairment overlay to adjust outputs for current and forward-looking macroeconomic conditions. The solution provided a globally applicable, transparent, out-of-the-box approach for low default portfolios, helped the firm estimate one-year and lifetime point-in-time PDs, and reduced the need for internal model building, though the case study does not cite a specific quantitative impact.