Advisory
An independent review of two differing exposure estimates
USD 110M
Collateral released
Challenge
An airline’s exposure from outstanding flight credits was being estimated by two parties using different methods, and the difference determined how much collateral the airline had to hold against it. The airline needed an independent view of which methodology was right and why the estimates diverged, before it could recover the difference.
Approach
I led an independent review of the SQL-based exposure methodology: the logic, the assumptions about redemption and expiry, and the data it drew on. We reconstructed the calculation, tested each assumption against the airline’s actual redemption history, and traced the divergence between the two estimates to its specific causes, documenting each so both parties could see it.
Outcome
The review explained the difference between the exposure estimates and established the defensible figure. About USD 110 million of collateral was released to the airline.
Source
Engagement record.
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