Understanding industry Credit Cycles is paramount

Unlocking credit cycles is a key objective of Z-Risk Engine and understanding industry credit cycles is paramount to converting TTC credit models into PIT ones before assessing ECLs forward-in-time.

As can be seen in the graphic below; over the last 30 years, using various measures like Credit Edge EDFs, US Loan Charge-offs and Moody's Default rates, credit cycles are real. Accurately assessing them is a key capability of Z-Risk Engine that supports IFRS9/CECL and Stress Testing in a single solution.

Credit Cycles Matter

Providing the power you need

The Z-Risk Engine solution suite helps unlock credit cycles in detailed industries and regions, which are customised to a bank's own portfolio. Adjusting TTC credit models to start the ECL projection with term structures starting where current credit conditions is a major factor in ECL accuracy for wholesale portfolios.

Z-Risk Engine's detailed models of credit cycle mean reversion and momentum for up to 20 customisable industries and regions, provides the power to assess ECLs forward-in-time.

Below are two examples of industries which exhibit very different risk levels as of Jan 2016.

Global Mining:

Credit Cycle Index and Forecasts for global mining

Global Technology:

Credit Cycle Index and Forecasts for global technology

Advanced software and analytics

Solution Overview

Z-Risk Engine is a proven solution with substantial benefits

The Business Case

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