Developed as a SAS® software solution
Z-Risk Engine is a SAS® software-based solution and is flexible to how SAS® is implemented within a bank. It utilizes client data and current credit models usually developed to support Basel II. It provides a full batch processing capability to apply the customized industry/region factors we help the bank develop through a core engine that provides multi-year forward in time PD, LGD and EAD term structures. When run in simulation mode, Z-Risk Engine provides probability-weighted ECL assessments. Alternatively, utilizing single deterministic stress or baseline scenarios, ECLs are assessed under a single specific view of forward-in-time ECLs.
Consistent set of credit indices used in all models, reducing model complexity
Assessment of PIT-ness of existing models
Conversion of hybrid model output to PIT
PIT PD, LGD and EAD measures
Fully automated batch processing based solution