osis at meetfintech day 2016 - trading

Open Source Investor Services “OSIS”

Credit modeling 2.0

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02/06/16 Credit Portfolio Management

3Main Cause of the financial crisis Bank balance sheet

Assets liabilities

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Open Source investor services

¡  Established in 2010, based in The Hague, The Netherlands

¡  Global client base: banks, bank groups & investors

¡  Our motto: Seeing through complexity of credit

¡  Structured data: bank data, CBS, Eurostat and publications from Central Banks.

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Dataquality

Datastorage

Dataanalysis

Datamodeling

Ra5ng&Valua5on Disclosure

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Data infrastructure 2.0 ¡  Low costs

¡  Low operational risk

¡  Timeliness update using automatically recalibrated credit models

¡  Analyst/ management in driver seat

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Data valida-

tion

Data- Mart

Credit Models

Prime: Analyst/Management

Solving data errors

Recalibration & portfolio info

Model outputs

Scenario input & recalibration based expert opinion

Loan Works

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Credit analysis & modeling 2.0 17

3rdgenera5onofmodels

Visual

QualityData

o  Standardized data of better quality

o  Focus on vizualisation

o  New generation of self learning credit models

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To date

¡  We provide analytical services to over 40 banks in Australia, South Africa, Europe and

North America

¡  The volume of loans using our analytical software and models is larger than the entire

Dutch banking industry:

–  EUR 600 billion, 13,5 million European mortgage loans

–  EUR 150 billion, 1.5 million European SME loans

–  USD 1,300 billion, 0.7 million US wholesale loans

¡  We entered into a cooperation with Bloomberg matching their library of ABS cash flow

models with our library of credit models

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Data quality amongst Dutch mortGage originators

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PDs compared with the same model 9

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Different PD per vintage 10

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PD’s at the same vintage 11

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Changes in the lending market

o  According to research from Deutsche Bank, Barclays and Goldman Sachs about USD

8,000 bn of loans will shift from the regulated banking sector

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Risk takers in the driver seat 13

EndInvestor

Borrower

1.AssetManager/HedgeFund

3.InvestmentBank

2.Creditra5ngagency

¡  Much of the analysis of the End Investor is outsourced to

intermediaries

¡  1-3 are making the best money, all can be leapfrogged

¡  Investors in the driver seat, making lending more efficient

–  Lower costs

–  Lower operational risk

–  Better understanding hence lower information asymmetry!

1.

Bank

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Credit modeling 2.0

¡  Focus on standardized (Loan level) data:

–  Banks have a huge advantage

–  New lenders should work together and pool their data

¡  We put investors, senior managers and private individuals in the driver seat:

–  Visualizing data

–  Playing a rol in the calibration of models

–  Understanding the risk.

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