SAS® Batch Analytics Architecture

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

The solution provides data utilities to customize industry and regional credit cycles to each financial institution's own footprint and the batch processing capabilities in SAS® or SAS® HP Risk provide full ECL calculations for each facility, counterparty, portfolio, or any customized 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