Financial Risk Modelling Services

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    "date": "2024-02-02T16:38:02Z",
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        "title": "Financial Risk Modelling Services",
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        "description": "Homes England produces a range of macroeconomic forecasts on a quarterly basis. These macroeconomic forecasts need to be translated into the impact on the portfolio, and used to quantify, understand, and manage the financial risk to the Agency. Homes England manages a multi-billion-pound Recoverable Investment portfolio consisting of c. 300 loans. The portfolio has been running since 2016 and is highly concentrated in the UK housing market with a skew towards small / medium housebuilders with limited financial and credit history, as well as special purpose vehicles (SPVs) set up to specifically to develop a site. Security for the loans is typically provided by the land associated with the development. Internal data for quantitatively estimating the impact of different macroeconomic scenarios on the various model parameters is limited. A range of models including Expected Credit Loss models and Stress Testing models are used to quantify the financial risk of different macroeconomic scenarios on the Recoverable Investment portfolio. The inputs into these models are generally Probability of Default estimates (both through the cycle and point in time), exposure at default estimates, and Loss Given Default estimates. The regularly updated macroeconomic forecasts therefore need to be translated into these parameters for use in the various models. The Quantitative Risk and Stress Testing team (QRS) at Homes England manages this process. All loans are internally credit rated on origination and on a regular basis throughout the term of the loan. The current process for producing the parameter estimates involves both quantitative analysis and qualitative assessment, converting the internal ratings into the required parameter estimates. Homes England also subscribes to an external ratings agency service to assist with benchmarking the estimates. Homes England is seeking assistance on producing these estimates on an ongoing basis. This requirement forms Lot 1: Financial Risk Parameter Estimation Services (PS500k estimated value) of the Service. See Appendix A: Lot 1 Service Scope. It is envisaged that a single supplier will be appointed to lot 1. Homes England is also seeking support in designing, building, and implementing additional financial and financial risk models to improve its understanding of the current portfolio, and to model new products and programmes. This requirement forms Lot 2: Financial Risk Modelling Advisory Services (PS500k estimated value). See Appendix B: Lot 2 Service Scope. It is envisaged that there will be 4 suppliers appointed for lot 2. Homes England designs, builds, and maintains a wide range of financial and financial risk models. These models and methodologies are applied to a wide range of financial and risk management problems, including credit risk modelling, scenario analysis and forecasting, stress testing, and IFRS 9. Homes England is also seeking external support to provide model validation and assurance services on these models. This requirement forms Lot 3 Model Review and Validation Services (PS300k estimated value). See Appendix C: Lot 3 Service Scope. It is envisaged that a single supplier will be appointed to lot 3",
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                "description": "Homes England means Homes England (the name adopted by the Homes and Communities Agency), or anyone acting on behalf of Homes England that is seeking to invite suitable Suppliers to participate in this procurement process. Homes England manages a multi-billion-pound portfolio involving a wide range of complex interventions and financial programmes. The portfolio includes the Government's PS19bn Help to Buy product, PS1.1bn in land assets, and PS2.2bn in financial investments (loans, equity investments, and guarantees). The portfolio is highly concentrated in the UK housing market. The Agency designs, builds, and maintains a wide range of financial and financial risk models in tools including excel, VBA, SQL, and python. These models and methodologies are applied to a wide range of financial and risk management problems, including credit risk modelling, scenario analysis and forecasting, stress testing, and IFRS 9. The Agency requires support in designing, building, and implementing additional financial and financial risk models to improve its understanding of the current portfolio, and to model new products and programmes.",
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                "description": "Homes England means Homes England (the name adopted by the Homes and Communities Agency), or anyone acting on behalf of Homes England that is seeking to invite suitable Suppliers to participate in this procurement process. Homes England manages a multi-billion-pound portfolio involving a wide range of complex interventions and financial programmes. The portfolio includes the Government's PS19bn Page 9 to 12 Help to Buy product, PS1.1bn in land assets, and PS2.2bn in financial investments (loans, equity investments, and guarantees). The portfolio is highly concentrated in the UK housing market. The Agency designs, builds, and maintains a wide range of financial and financial risk models. These models and methodologies are applied to a wide range of financial and risk management problems, including credit risk modelling, scenario analysis and forecasting, stress testing, and IFRS 9. These models are built in a range of tools including excel, VBA, python, and SQL. The Agency requires external support to provide model validation and assurance services.",
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