Advanced software and analytics
Z-Risk Engine is an advanced software solution designed to accurately project future ECLs for wholesale portfolios. ZRE’s primary advancement is to unlock complex industry and region credit cycles to accurately convert TTC PD, LGD and EAD models into PIT measures. Accurately projecting wholesale credit losses requires PIT measures to be successful and to satisfy IFRS9/CECL and Stress Testing regulations.
The solution is developed in a flexible SAS® architecture that works directly with a bank’s current suite of PD, LGD and EAD models. Dynamic batch processing of loan portfolios in bulk, utilising detailed credit cycle models updated on a monthly basis, provides the advanced analytics and processing power banks require. It is available only available from AAA, and at a fraction of the cost of developing these analytics platforms in-house.
The result is a single integrated solution that works directly with a bank’s own credit models.
Batch processing of a bank’s current credit models:
Batch processing of correlated PD, LGD EADs on a forward-looking basis:
Integrates with ZRE PIT module and batch processing of customised macro-factor scenarios:
With over 60 years' accumulated advanced credit model development experience, AAA is the only team in the world to successfully receive approval for two Basel 2 Waivers at two global banks. Our research and modelling team provides custom credit model development services focused on commercial and corporate portfolios and including development of PD, LGD and EAD models: