SAS® batch analytics architecture

As a SAS® software based solution designed to efficiently process large commercial and corporate portfolios to calculate current PIT PD, LGD and EAD and PIT term structure estimates, Z-Risk Engine utilises a bank's own detailed counterparty static and credit model data.

The solution provides data utilities to customise industry and regional credit cycles to each financial institution's own footprint. The batch processing capabilities in SAS® or SAS® HP Risk provide full ECL calculations for each facility, counterparty, portfolio, or any customised user-defined segment, in a few hours.

Z-Risk Engine can be run in unconditional simulation mode or in conditional mode, using customised stress or baseline assumptions.


Client PD, LGD, EAD Data

Market Implied PDs

Macro Economic Data

Client Model Parameters

500,000+
PIT PDs, LGDs, EADs
x10 years

500,000+
IFRS9/CECL Expected Credit Loss x10 years

500,000+
Stressed Losses
x10 years