2. RISK VBox¶
Software for automated Credit Risk Management and Reporting.
Accurate and standard compliant with
IFRS 9 and
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)
Issuer and Issue Rating (Intern or Extern)
2.2. Credit Risk Modelling¶
Forward Looking Information¶
Management of Macro-Economic Covariates and Forecast. RISK VBox supports the following Forecast methods:
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)
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.