MARQ is a differential risk assessment model that creates relative risk curves and focuses on how primary risk metrics are changed by the initial investment characteristics. It evaluates how these characteristics can change over time, leaving the independent decision about absolute risk levels to the User.
The methodology can be applied to retail loan classes including residential and small commercial mortgages, personal loans, credit cards, auto loans, small ticket commercial leasing, large commercial properties, corporate and any other type of loan, although the MARQ platform is designed for residential mortgages.
MARQ uses a standard methodology for credit risk assessment that is comprehensively documented and validated by Oliver Wyman. MARQ enables users to calibrate risk models in order to perform their own independent credit risk assessment.
MARQ is supported by experts within Mòrgij Analytics who can provide:
- Data management and handling
- Analytic instruction
- Reports and marketing material
- System administration
- Training, education and technical support.
MARQ provides Users with customised, intuitive and cost effective risk and valuation analytics. Additionally MARQ:
- Can be implemented efficiently and cost effectively
- Can reduce and eliminate the reliance on credit rating opinions in RMBS and covered bonds, leading to potentially higher yields for investors
Can validate and enhance existing models, supporting best practice in governance and facilitating improved decision making
- Delivers comprehensive risk reporting and transparency to Users potentially leading to better execution of debt issues and lower funding costs
- Derives key outputs in a bank’s internal capital adequacy assessment process (“ICAAP”)
- Presents complex financial analysis in a simplified manner and can supplement board and stakeholder reports
- Provides a robust understanding of risk in mortgage portfolios that can lead to improved offerings, pricing for risk, improved profits and lower losses
- Satisfies APRA’s requirements under CPG 110 (Capital Adequacy), CPS 220 (Risk Management) and APG 223 (Residential Mortgages)
- Supports a seamless and efficient experience with ‘big data’ analysis through intuitive graphical user interfaces.
- Graphic outputs of risk analysis for ease of interpretation and comparison
Open-book architecture with published data definitions, algorithms, parameters and standard risk weights
- Risk adjusted PV calculation for standard and User calibrations, and under stressed scenarios
- Scenario review that enables stress testing, based on changes in house prices, borrower incomes and interest rates as calibrated by Users
- Standardised analysis to facilitate User calibration, comparison and benchmarking of deals or portfolios between each other or the market, and
- User-calibration of risk weights for all risk characteristics, allowing customised analysis on a loan-by-loan basis.
MARQ provides Users:
- Credit comparisons with rated tranches and dynamic LVRs using property indices
- Expected loss measures using MARQ standard weightings and User calibrated weights
- Mortgage loan data collection and storage in a secure environment with selected access
- Mortgage risk analytics using MARQ standard weights and User calibrated weightings
- Risk adjusted expected losses generated using MARQ standards, User calibration and stressed scenarios
- Risk adjusted profitability measures by calculating NPVs of mortgage loans and pools
- Scenario analysis for stressing loan-to-value ratios, interest rates and income levels by geographical regions
- Standardised mortgage loan disclosure reporting on individual loans and loan pools.
- Data collection and validating of agreed Mortgage Pools
- Training and support for all Users of www.MARQServices.com
- Storage of Loan Manager mortgage data and MARQ analysis data
- Assistance with data requirements and training of Loan Manager staff
- Any specially requested reports or analysis that MSM is able to provide from the existing database using MARQ Services.
MARQ Updates and Code of Conduct
MARQ regularly provides to clients and users via document posts on www.MARQServices.com in relation to:
- MARQ System Specifications
- MARQ System Loan Risk Definitions
- MARQ Score Data Requirements
- MARQ Score Data Spreadsheet Template
- MARQ User Instructions, and
- MARQ Services Code of Conduct.