Featured in the June edition of Risk.net, this article on the potential volatility of IFRS9 loss projections where Z-Risk Engine (ZRE) MD, Dr Scott D. Aguais provides key commentary and explanation on how the ZRE solution is well placed to meet these new challenges.
In this study, we model IFRS9 Significant Deterioration from an end-to-end perspective covering topics such as PIT PD term structure, data based triggers, trigger design, threshold levels and implementation.
Published Journal of Risk Model Validation, Q3 2016 edition
Contact us for the final published article or access it directly here.
Developed on a SAS platform, Z-Risk Engine can be implemented in a dynamic batch process with your existing credit models.
Gaurav's talks through key benefits of the Z-Risk Engine methodology through harnessing the credit cycle index.
December 2015; What the future looks like with PITs