RC-Capital Model
The portfolio capital engine at the centre of the suite — every exposure, every risk factor, every run
The problem
Most portfolio capital models buy their speed by approximating. Exposures are collapsed into loan equivalents, correlations are assumed rather than estimated, only defaults are counted, and the number that reaches the board cannot be traced back to the deal that produced it. That is fine until a regulator, a rating agency or a board member asks why. RC-Capital Model is built the other way round. It is a full Monte Carlo portfolio model that revalues every exposure as ratings migrate, spreads move, interest rates shift and currencies swing — and it reports VaR, expected shortfall and capital contributions for every exposure on every run, not only for the portfolio. It is also the engine the rest of the suite relies on: RC-Limit System binds limits on the capital it computes, RC-Deal Analysis prices new deals against its portfolio, and the Economic Capital dashboard reports its published results.
What it does
A full Monte Carlo model that revalues every exposure as ratings migrate and spreads, rates and currencies move. VaR and expected shortfall at four confidence levels, allocated seven ways to every exposure — and the capital that RC-Limit System, RC-Deal Analysis and the Economic Capital dashboard all build on.
Who uses it
Multilateral development banks and other MLIs, Bank risk functions, Insurers and export credit agencies, Central banks, Asset managers and debt funds
What’s inside
Risk factorsRating migration, not only default · Stochastic spreads and interest rates · FX risk on exposures and on collateral · Equity with stochastic volatility
PortfolioLoans, bonds, CDS, swaps, equity, property and indices · Counterparty exposure · Homogeneous retail-style pools · Securitisations by look-through, four waterfall types
CapitalVaR and expected shortfall at four confidence levels · Seven capital-allocation measures · Per exposure and by account, country, currency, industry or obligor · Generalised-Pareto tail fitting
Working with itFour correlation structures, including conditional · Stress sets for every statistical input · Mean-variance efficient frontier · Scheduling, sequences and a live task monitor
What changes for your risk team
- Capital numbers you can defend to a regulator, a rating agency or a board, traced back to the exposure that produced them.
- The capital cost of a prospective deal in seconds, through RC-Deal Analysis, without re-running the whole portfolio.
- Expected loss and valuations accurate enough to use in provisioning and fair-value reporting.
How it feeds the rest of the suite
- RC-Limit System: capital contribution per exposure, so limits bind on capital rather than face value
- RC-Deal Analysis: the computed portfolio a new deal is measured against
- RC-Economic Capital System: published credit-risk results for the capital dashboard
Papers built on this model
Capital Cliffs and EU Securitisation Regulations
This report (written jointly by a Risk Control Director and co-authors from leading industry organisations) assesses cliff effects in European securitisation capital rules. Capital cliffs create distortions and exacerbate instability in financial stress…
Full text · figuresRisk Control presents at Italian securitisation workshop
Risk Control Director William Perraudin gave a talk to a large audience of Italian bankers and policymakers in Rome. The talk drew on our recent report on Making the Bank Securitisation Capital Rules Work for Europe. The presentation slides can be downloaded…
Full text · figuresMaking the Bank Securitisation Capital Rules Work for Europe
This report assesses the European Commission’s 17th June 2025 proposals for reforming bank securitisations capital rules. While we welcome the intended goal of unlocking bank issuance and investments in securitisation, and the direction of the proposed rule…
Full text · figuresSee RC-Capital Model on your own data
A demo takes an hour. A pilot on your portfolio takes weeks, not quarters.