UK Export Finance · production

PRISM (Portfolio Risk Simulation Model)

"An Economic Capital simulation model used to calculate and analyse the risk for a UK Government portfolio of loans, guarantees and insurance products supporting UK exports."

Publicly known

Owner: UK Export Finance
Vendor: Quality Assured/Audited by, Credit Explorer: Quality assured by Ernst, Young, PRISM: Quality assured by Government Actuary Department (GAD), Audited by National Audit Office (NA0), Deloitte LLP, The simulation engine is currently provided by, @Risk (Palisade/Lumivero Software), Input data for the model (training and production) is supplied by, Bloomberg: Currency Rates/”FX”, Interest Rate Forwards, Discount Rates, Aircraft Valuation Company (AVACS) - Asset Based Guarantees - Aircraft, Engines-only Sale Values, Rental rates, Grant Thornton UK LLP, S&P GLOBAL LIMITED: Probabilities of Default, Interest Rates, PRISM was developed in-house by the ORA team in 2011, but based on predecessor Credit Explorer (using CreditMetrics style approach). Credit Explorer was developed by the ORA team with the support of University Professor William Perraudin in early 2000, Rivast Consulting

Undisclosed

Model architecture
Model performance benchmarks
Training data provenance

Who is actually being paid

Supplier arrangement · described jointly for all 20 suppliers

Role

Professor William Perraudin assisted the initial development of Credit Explorer. Ernst and Young performed quality assurance of Credit Explorer in 2002-03 before the initial move to production. Rivast Consulting performed a review and quality assurance in 2007, leading to the move to the current version of PRISM. NAO, Deloitte and Grant Thornton performed the annual audit review including the audit of this model and the results. UKEF Internal Audit and Government Actuary Department (GAD) quality assured PRISM in 2017 and 2023-24. Software provider (no direct development role, off the shelf software): @Risk - Palisade (now owned by Lumivero). Input data providers (no direct development role, data supply only): S&P GLOBAL LIMITED (Probabilities of Default), Bloomberg (Currency Rates/”FX”, Interest Rate Forwards, Discount Rates, Interest Rates) Aircraft Valuation Company (AVACS) (Asset Based Guarantees - Aircraft and Engines-only Sale Values and Rental rates)

Procurement procedure

Government Actuary Department (audit and consultancy): Framework Agreement Lumivero UK Limited (was Palisade Risk): Enterprise Volume Software supplier (via CCS Framework RM6098 TePAS2 agreement): Deloitte LLP, Grant Thornton UK LLP (year end audit): UKEF Financial Crime Compliance Consultancy - CCS Framework Management consultancy three, framework call off mini competition. S&P GLOBAL LIMITED: S&P Capital IQ ratings and CreditPro – Negotiated without prior competition Bloomberg UK Limited: Bloomberg Finance data licence – below Public Contracts Regulation threshold without prior competition Bloomberg Finance terminal – below Public Contracts Regulation threshold without competition BK Associates (was AVACS Limited): Direct Procurement Framework (<£10k threshold) and then “One Quote” process (<£5k threshold)

Data access terms

Auditors: Full access, but copies, not originals and deal data/obligors anonymised.

Quality Assured/Audited by