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.
Full PIT conversion of ‘hybrid’ internal credit models incorporating detailed credit cycles – substantially improves bank IFRS9 model accuracy by 2-3X.
Credit factors (Industry and Geographic) together with an array of Point-in-time (PIT) PD, LGD, EAD and grade transition models provide a rock-solid foundation for determining the probability-weighted ECL estimates called for IRS9 or CECL.
Whilst lowering implementation risk, the solution is also highly configurable and customisable to allow any recalibration.
The result is a cost saving single platform for IFRS9/CECL and Stress Testing.