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.


Existing Client Models and Data: PD, LGD, EAD and Stress Testing

PIT MODULE

Custom Industry-Region Credit Cycles provide:

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

 

ECL MODULE

Simulation

Scenario #1

Scenario #2

Scenario #n

Scenario #1000

Unconditional
Multi Period

PIT PD

PIT LGD

PIT EAD

 

Significant Deterioration Criteria from Client

SCENARIO FORECASTING MODULE

Bridge

Probabilities and Scenarios from Client or Regulator

Scenario #1

Scenario #2

Scenario #n

Conditional
Multi Period

PIT PD

PIT LGD

PIT EAD

 

Significant Deterioration Criteria from Client

Expected Credit Loss

Scenario Based Loss