The Credit Risk TNG module of RiskPro provides:
1. Exposure measurement taking credit risk enhancement into account
2. Expected loss measurement using a sophisticated analytical approach based on an Edgeworth expansion.
3. Credit portfolio risk measurement taking into account:
- Credit and market risk factors, thus providing an integrated view on Economic Capital
- Correlations between systemic risk factors
- Stochastic modelisation of loss given default (LGD)
- Multi-period simulation
- Important sampling to increase performance
4. Stress testing any kind of Credit and or Market risk factor
Thomas Brouwer, Head of Product Management at FRSGlobal, commented: âSound credit risk measurement is the necessary foundation stone for building institution-wide risk measurement and management methodologies. The addition of our Expected Credit Loss and Credit portfolio risk components ensure high accuracy and address the industry need for fully integrated analysis in respect to economic capital calculations.
FRSGlobalâs RiskPro solution covers a broad scope and depth of financial analysis ensuring consistency of results and reduction in the cost of analysis which includes:
â¢ Easy-to-use and highly flexible modular software platform satisfying the internal and external analysis requirements in financial risk analysis - for small to large organisations
â¢ Extensive financial product coverage - from saving accounts, complex loans and insurance instruments to exotic options and structured products
â¢ Experienced and talented implementation and support resources - providing quality services and complete knowledge-transfer to ensure effective solution implementation, use and support
â¢ Worldwide accessibility and global delivery capability through local presence and international teams.