Internal/Portfolio Metrics
Monitors protocol liquidity and outstanding claim levels; and outputs metrics and recommendations to manage the protocol’s portfolio.
Introduction
Concrete’s Internal/Portfolio engine uses the current portfolio of policies and open loans, data about market conditions, historical statistics about C-Scores (produced by collateral models) and L-Scores (produced by Loan&Policy models); and outputs a series of metrics and recommendations:
a. Protocol Reporting
Open policies and disbursed loans metrics, with views by credit score decile, by different terms, by origination date and by collateral.
Interest currently charged.
Capital available
b. Key Metrics
Value at Risk.
Potential calls for loans.
Predicted repayment rates.
c. Theoretical Models Calculations
Cramer-Lundberg
Objectives
These outputs will be consumed in 2 main ways:
As a means to measure and manage our portfolio metrics; in order to design or fine tune decisioning and pricing strategies. Or more generally to produce data insights and serve as a business intelligence tool.
As IR-Scores, which will be supplied, in addition to C-Scores and L-Scores, to the decision and pricing services whenever the protocol needs to approve or price a policy.
Methodology
The Internal/Portfolio Metrics Service will be built by combining:
Classic battle tested risk management best practices - “Credit Risk Measurement” book by Saunders & Allen provides good specifications.
Novel approaches to risk management such as the dashboards provided by Gauntlet Network for DEFI protocols.
Our framework will be transparent and publicly documented:
White paper describing our methodology.
Metrics dashboards and reports published quarterly.
This transparency will yield trust; and allow a healthy conversation where all stakeholders and users can drive improvement towards higher levels of safety.
In addition to theoretical models such as Cramer-Lundberg; this service will rely heavily on the simulation engine detailed here.
Integration within the Product Ecosystem
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