Credit- & Risk Management
Risk-based pricing in Credit Risk Management
The use of modern rating systems to calculate risk-adjusted pricing is a key factor for success in the credit industry. These systems must be flexible and adaptive in their structure and in their ability to deliver consistent and reliable results.
PRO-CR Credit- & Risk Management is a powerful solution for new and existing credit businesses. This solution includes functionalities that create new rating models, validate and calibrate existing models and analyze different risk strategies. PRO-CR also includes a specific module for stress testing.
The MediaSearch module is used to find information on the Internet and in business information databases that is relevant to the valuation of a company (e.g. information on owners, legal disputes, product risks, etc.). These can be included in the rating and enables a holistic view of the company.
PRO-CR generates optimized rating models with minimized false alerts. These models are transparent in their structure and quality. The model qualities are presented with various indicators such as Gini index, True Positive Rates, False Positive Rates and AuRoc-Curve. The accuracy of the models continuously improves in the feedback learning process. All activities are recorded and are easy to understand.
PRO-CR monitors credit portfolios using migration matrices with drilldown options to individual credit levels. Rating classes and classification models are flexibly defined.
PRO-CR is suitable for the creation, validation, calibration, benchmarking and stress testing of risk models in the finance industry. Examples beside credit risks include risk models for predicting claims risks in insurance or derivate risk models.
- Compliance with the Basel II and III guidelines
- Use for various rating models (corporate banking, retail etc.)
- Calculation of PD (probability of default), LGD (loss given default) and EAD (exposure at default)
- Analysis of individual credit and portfolio levels
- Finding relevant information on the internet and in business information databases
- Provision of a comprehensive assessment of a credit business, including early warning systems
- General suitability for all areas where risk models are used
In the area of Anti Money Laundering (AML), Fraud Detection and Prevention the products support the internation- ally recognized and accepted GAFI / FATF recommendations as well as the fulfilment of the regulatory require- ments of the Swiss GwG, FINMA-GwV, VsB 16 and KAG on a very high-quality level.
The solutions base on precise analytics and support the users in the fulfilment of the MiFID / EMIR requirements as well as the Swiss FinfraG, FidleG, BEHG, KAG and KKG acts, laws and regulations in the areas of risk based customer analysis, product suitability rule and exception handling, market transparency and cross border.
The products also support the qualitative and quantitative regula- tory requirements in the areas of BASEL II/III, CRR and CRD IV minimal regulatory capital calculation, liquidity risk analysis (LCR / NSFR), static and dynamic stress testing and simula- tions, collateral optimization and many others.
- Optimized rating and risk models
- Transparency of financial implications of different risk strategies
- Integrated stress testing
- Comprehensive risk assessment