Credit risk modelling, validation and management, and credit economic capital
The Analytics Boutique provides a set of best of breed software solutions for credit risk modelling, management and determination of credit economic capital requirements (Basel`s Pillar 2 and Internal Models under Solvency II).
Our credit risk software solutions cover the entire value chain ranging from the credit risk modelling to the application in day-to-day management of the business:
- Credit Risk MachineLearning: create models for rating, scoring, PD, EAD, LGD and other and the corresponding model validation
- Credit Risk Loss Forecasting: develop stress testing models based on macroeconomic factors
- Credit Portfolio Risk Analyser – Economic Capital: determines capital requirements under Basel’s Pillar I and II, including capital allocations for risk-adjusted performance management
- Integrated Credit Risk Stress Testing: Stress testing and ICAAP
- Acceleris Risk-Based Loan Pricing: Loan origination, rating and pricing based on all the above model