Frequently Asked Questions (FAQ)

Q. In which release PD/LGD modelling was introduced?

A. PD/LGD modelling was introduced in Analytics R21.04 (AMR) release.

Q. Is there a naming convention to be followed for Model Definition?

A. It is suggested to prefix the Model Name as follows:

• PD – Probability of Default Model
• SLGD – Statistical LGD
• WLGD – Workout Approach LGD

Q. In what sequence the product must be configured to make it ready for PD/LGD calculation process?

A. Suggested steps are:

1. MEV Definition
2. Model Definition
3. Portfolio Definition
4. Upload historical data – DPD, Recovery and MEV
5. Portfolio Classification Rules

Q. It is observed that some of the contracts/accounts do not have PD/LGD figures calculated or it always gets the Minimum Default value configured in the system. What is the reason for this behavior?

A. PD/LGD figures are calculated at Portfolio level first and then rolled down to each contracts or accounts belonging to that Portfolio. There could be various reasons why PD/LGD are not calculated for a set contracts or accounts:

• Portfolio is defined but is not marked as active. All inactive Portfolios are left out of PD/LGD calculation process.
• Portfolio is defined and is active, but no Model(s) is/are selected for the Portfolio. Please ensure that at least one Model is selected for the Portfolio.
• Insufficient historical data like MEV values or DPD or Recovery for the said Portfolio.
• MEVs selected for the model do not meet the cut-off criteria, hence fails to form a transitional matrix.
• Contracts or accounts do not belong to any Portfolio. Please recheck the Portfolio Classification rules and ensure that those contracts or accounts are classified under a Portfolio.

Q. I want to skip some of the contracts/accounts from PD/LGD calculations like Deposits. How can I do that?

A. If you do not want to calculate PD/LGD for some contracts/accounts, then please ensure that your Classification Rules do not map these contracts/accounts to any of the Portfolios defined in the system. All unclassified contracts/accounts shall be left out of PD/LGD calculation process.

Q. Can I have PD/LGD based on multiple Models for a Portfolio?

A. Yes. You can attach multiple Models to a Portfolio. For example, you might need to calculate PD/LGD based on a specific model to meet IFRS9 requirements and you might need another model for the same Portfolio for internal MIS purpose.

Q. When to mark MEV for Interpolation?

A. MEV Interpolation feature must be used only when needed for specific purposes. For example, Unemployment Rate is one of your MEVs and you have values missing for couple of month-ends momentarily. System requires each month-end figure for calculation of PD. So, to fill in those missing values, you may mark that MEV for interpolation. System shall derive interpolated values for missing month-ends and use it for PD calculation.

If MEV is not marked for interpolation and value(s) is/are missing, system shall carry forward previous month’s figure and use it for that month.

Q. Is there an option to select all MEVs for calculation irrespective of correlation and concordance cut-off?

A. User can update the cut-off criteria for correlation as 1 and for concordance as 9999 default values. This will include the MEV for PD calculation as the correlation and concordance values will be always below the default values defined.

Q. User can see PD/LGD Modelling menu items but none of the corresponding pages are functional. What the user need to do?

A. Open appsettings.json in web folder through Analytics\Analytics Application, go to insightrisk section and ensure that server name and database name have correct values. Check the same in appsettings.docker.json file as well, if you have it in the same folder.

Q. I am unable to save Portfolio Definition in FRM web application. Why it is not possible to save?

A. Portfolios defined in FRM web applications are synced with TDE metadata using TDE APIs. This is done for defining and processing Portfolio Classification Rules. Please ensure that TDE APIs are hosted properly.

Q. TDE API service URL is working fine, however saving Portfolio Definitions or MEV records does not work. Why I am not able to save Portfolio Definitions or MEV records?

A. Check the following:

• In appsettings.json, check which user is configured in TDEApi section
• Login to TDE Admin module and go to Access Control & User Management
• Edit record of user id you found in first step
• Go to Access Control tab
• Ensure that RISK_ADS role is selected. Without this role assignment, TDE APIs wont function with FRM web application

Q. No records are found in PD/LGD Visualizers. What could be the problem?

A. Please ensure that:

• Portfolio Classification process is executed before PD/LGD calculation.
• PD/LGD calculation is successfully completed without any error.
• User is selecting correct Business Date, Portfolio and Model.
• Sufficient historical data is available in ADS for the Portfolio(s). Due to insufficient data, system will assign Minimum Default Value PD/LGD. One of the ways to identify this is by running Quick Reports and check the IsCalculated flag. If it is False, then there will not be records available for intermediate steps in calculation process. Hence the empty Visualizer.

Q. Upload of historical CSV (DPD or Recovery) fails. How to troubleshoot this?

A. Try running the job manually from TDE Designer module.

• Check that CSV file is exactly as per the prescribed template. You can find the prescribed template in Business Analysis (IMP07) document.
• Mandatory columns have values populated.
• No records have incorrect data type in any of the columns. For example, some records might have NULL values in Numeric or Date datatype columns. This will fail the upload process.
• Date columns must be in dd-MM-yyyy format
• Check for any errors in log files. Check driver log files:
  • historicaldpd-tns-nnnnnnnnnnnnnn
  • historicalrecovery-tns-nnnnnnnnnnnnnn
• In case of uploading MEV historical data using Analytics web application, check whether the file size is bigger than the MaxSizeInBytes mentioned in csvfileupload section of appsettings.json. You can adjust the setting as per your need.

Q. Where is historical data (DPD and Recovery) stored in ADS?

A. Historical data stored is:

• DPD history is stored in FactDPD.
• Recovery data is stored in FactRecovery.
• While loading DPD and Recovery history, if there are any legacy contracts in CSV, which do not exist in Transact LIVE files, then such contracts are loaded into DimContract with SourceApplication = EXTERNAL

Q. Job for loading historical DPD and Recovery data is successfully completed. However, relevant records not found in FactDPD and FactRecovery. Why the records are not found?

A. For records to load from staging tables to Dims and Facts in ADS, DW Load Process must be in running state. Please check status of DW Load Process in TDE Admin module. If DW Load Process is in running state, then ensure that DES is up and running, and respective ADS topics has DPD/Recovery entries. For more details, check the process logs in: 

/home/designer/htrunk_logs/ADS_DW_PROCESS/mm-dd-yyyy/sys-logs/ads-root-sys.log

Q. A new MEV is marked for interpolation and saved. However, after saving the record, interpolated values are not seen in the Values tab. Why I am not able to see the values?

A. Interpolation of missing values is done as one of the initial steps of PD calculation under Macro Economic Model approach. Run PD calculation process and check back again. Note that system will perform only interpolation and not extrapolation.

Q. While trying to upload historical data through CSV Import feature, it is noticed that CSV file is available in /usr/lib/htrunk/work/csv, however ‘Input file not found’ error is found in the logs. What causes this error?

A. Ensure that CSV file is available in both the folders mentioned below:

• /usr/lib/htrunk/work/csv
• /spark-common/work/csv/

Q. DPD and Recovery details from Transact are not classified properly as Principal, Interest and Charges amounts in ADS tables. Why it is not classified correctly?

A. User must define AMOUNT.TYPE/PROPERY.TYPE in OverdueAmountTypeParameter and AAPropertyParameter components in TDE Designer.

Q. I notice that PD/LGD values calculated for all contracts belonging to the same portfolio have the same values. What could be the reason?

A. The identical values you see for PD/LGD belonging to the same portfolio are probably due to insufficient historical data available in ADS for the Model to process. In such a case, the default value of PD/LGD defined in the Model definition is assigned to the contracts.

Q. I have records available in IFRS9PDLGDPortfolio and IFRS9MarginalPDLGDPortfolio datasets. However, these records are not getting loaded into PV.PROFILE table in Transact. What should I do?

A. Ensure that portfolio mnemonics defined in FRM are in sync with IDs defined in PV.PROFILE.

Q. What is the number format of PD/LGD values received in the CSV file as the output of the datasets?

A. The number format of PD/LGD values is in percentage terms with four decimals. For example, a PD value of 24.32671353% is passed as 24.3267 in the output.