Credit risk is the odd that a client or counterparty is not able or willing to fully or partially repay its debt or when the quality of the client or counterparty decreases, which has a negative effect of the value of assets.
RaPID allows quantifying the credit risk and reporting it historically (as time series), as of today (current position) or look forward into the future.
Exposure / large exposure / credit portfolio analysis
- Gross exposure based on on-balance and off-balance (guarantees given, credit lines, letter of credits)
- Net exposure including collaterals, guarantees and netting
- Slicing & dicing according to any kind of dimensions
- Full drill down
Expected loss (EL)
Potential future exposure (PFE)
Credit Valuation adjustment (CVA)
Risk weighted asset (RWA)
- Fully parametrizable
- Exposure at default
- Credit conversion factor
- risk weight
- normal / stressed view
Basel / CRR
Calculation of the capital charge
- standardized
- IRB foundation
- IRB advanced
- normal / stressed view
Concentration risk
- Products
- Sectors
- Industries
- Countries
- Segments
- Currencies
- Group risk analysis (connected clients)
- based on economic relations
- based on legal relations
- graphical representation as nets
- Slicing & dicing according to any kind of dimensions
- Full drill down
Internal Capital Adequacy Assessing Process (ICAAP)
Historical / time series analysis
- exposure over time
- Impairment over time
- Account classification over time
- Rating classes over time
Stress testing
Possibility to stress any kind of parameter / risk factor
Rating
- Flexible rating models for
- Retail
- Banks
- Corporates
- SME
Probability of default (PD)
- Calculation of effective PDs
- Statistical testing effective versus used