Financial Performance
& Risk Management

Credit Risk Modeler

Simplify Your Credit Risk Analysis and Capital Forecasting Process

Credit Risk Modeler is an ideal solution for financial institutions beginning to use economic capital modeling to ascertain existing and potential credit risk.

The model enables risk managers to simply input historical credit performance data, perform “what if” scenarios and subsequently calculate forward-looking estimates of expected losses, unexpected losses, and economic capital.

Add Precision to Risk Analysis
The result is a simplified credit risk analysis and capital forecasting process that produces more precise results than less analytically rigorous approaches.

With Credit Risk Modeler, you can analyze various product portfolios and model expected and unexpected credit losses; determine required economic capital to account for projected credit losses; and analyze pools of your most risky assets.

Customized to Your Portfolio
Credit Risk Modeler also allows you to easily alter model assumptions at your discretion to simulate the impact of changing conditions, providing additional capability for scenario planning, sensitivity analysis and stress testing. In addition, Credit Risk Modeler incorporates significant flexibility in terms of the dimensions of analysis you may choose to perform.

Cost-effective and Improves Modeling Performance
Depending on the level of detail provided, you can simulate and project credit losses by individual asset or on a portfolio level.

  • Learn More
  • Credit Risk Modeler Brochure
  • Bank Capital Models and Bivariate Normal Probability Calculations – Technical Report