2. RISK VBox

Software for automated Credit Risk Management and Reporting. Accurate and standard compliant with IFRS 9 and Basel II+III. High performance for large portfolios of more than 10 Million accounts.

2.1. Data Management

Since Banks do not always have all data electronically available, the Software provides its own Business Object Schema to capture and manage Credit Risk related data such as:

  • Counter parties (in different roles, e. g. Obligor, Guarantor, Collateral Provider, Beneficiary)

  • Financial Assets

  • Collaterals

  • Issuer and Issue Rating (Intern or Extern)

Business Object Model

Credit Risk Business Object Model

2.2. Credit Risk Modelling

Forward Looking Information

Management of Macro-Economic Covariates and Forecast. RISK VBox supports the following Forecast methods:

  • ARIMA

  • Holt-Winters

  • Feed-forward Neural Network

Probability of Default (PD)

Analysis of Observed Losses Through the Cycle using a Markov-Chain (Intensity Model). Transformation into Point in Time Curves using a Non-Linear Regression between the Observed Defaults and the Observed Macro-Economic Covariates.

  • As per Rating Class (for Corporate Lending, when Obligor Rating is available)

  • As per Portfolio (for Retail Lending based on Behavioral Patterns and Scores)

Recovery

Analysis of the Cash Recovery after Default, considering actual Sale of Collaterals and Write-offs or Modification Losses. Calculates Cure Rate, Recovery Rate and Redefault Rate over time as per Portfolio — adjusted by Forward Looking Information.

Credit Conversation Factor

Roll-Rate Analysis of Undrawn Portions before Credit Events.