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. The solution also includes a specific module for stress testing.
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.
Key features of PRO-CR Credit- & Risk Management
- Follows the Basel II and III guidelines
- Useful for various rating models (corporate banking, retail etc.)
- Calculates PD (probability of default), LGD (loss given default) and EAD (exposure at default)
- Analyzes individual credit and portfolio levels
- Provides a comprehensive assessment of a credit business, including early warning systems
- Is generally suitable for all areas where risk models are used
Regulatory requirements and compliance
The products assure compliance with numerous national and international regulatory requirements and standards.
- In the area of Anti Money Laundering (AML), Fraud Detection and Prevention the products support the internationally recognized and accepted GAFI / FATF recommendations as well as the fulfilment of the regulatory requirements 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 regulatory 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 simulations, collateral optimization and many others.
- Optimized rating and risk models
- Transparency of financial implications of different risk strategies
- Integrated stress testing