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.