Demo Application

One of the four widely recognized credit risk models on the market since 1997
Flexible tool for credit risk measurement and management of large portfolios
Considers losses from counterparty defaults and rating migrations
Includes fluctuations of collateral values
Allows marked-to-market and marked-to-book valuation

Computation is organized in two main parts:

1) Systematic Risk Model
	Characterizes the probabilities of default and rating migration, conditional on the current state of the economy Monte-Carlo simulation of macro-economic scenarios Simulates correlation between default probabilities of counterparty groups (industry segments), and stochastic collateral values Country-specific risk may affect vast portions of the portfolio
2) Portfolio Loss Calculation
	Applies simulated scenarios to selected portfolios Determines the resulting loss distribution and the relevant statistics (VaR) Uses random recovery rates

Reporting features

Marginal analysis shows absolute and marginal VaR for a choice of sub-portfolios
Statistics and charts displayed by business unit, industry, country, etc.