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Loan Impairment Calculator (LIC)
Robust tool supporting the methodology from A to Z for loan loss assessment and being IFRS 9 ready. It offers scalability and flexible parameterization to capture economic and regulatory specifics in loan loss provisioning calculation.
Successfully implemented in 13 banks across the CEE region.
Modularity covering several areas:
- Data integrity validation module
- PD and exposure calculation module
- Loan loss provisioning calculation ? both collective and individual assessment
- Accounting module:
- Effective interest rate calculation
- Recognition of fees and commissions
- Unwinding of interest
- Accounting entries for above mentioned operations
- Back-testing of loan loss provisions
- Credit risk reporting and management dashboard
LGD estimation tool
Web-based user-friendly interface running on open-source platform.
Allows for estimation of recovery curves and analysis of secured portfolio.
Offers user parametrization of:
- History length
- Time in default
- Recovery horizon
- Collateral realization time
- Cllateral haircut
Works with SQL databases (MS SQL, Oracle) and flat file formats (txt, csv).
Offers export to popular formats (MS Excel).
PD estimation tool
Web-based user-friendly interface running on open-source platform.
Allows for estimation of PD, default rates and calculation of migration matrices.
Offers user parametrization of:
- Portfolio choice
- Rules for default and recovery/cure of the loan
- Buckets/states settings
- Default horizon
Offers export to popular formats (MS Excel).
Model validation tool
Web-based user-friendly tool running on open-source platform.
Comes with standard validation tests focusing on:
- Discriminatory power
- Stability
- Calibration
- Back-testing
Works with pre-defined input data format.
Binning tool
Web-based user-friendly interface running on open-source platform.
Tool designed to help with the development of credit scoring models based on WOE transformation and logistic regression. It allows the user to identify variables influencing credit risk and proposes optimal binning of chosen numeric and categoric variables for WOE transformation.
Enables the user to:
- Upload data in various file formats
- Choose the preferred automatic binning algoritm
- Manually define binning for selected variables
- Export binned dataset in various file formats
Finance and Risk Integrated Solution (FARIS)
Modular tool for Asset-Liabilities Management and related Risk management functions.
Liquidity and Interest rate risk analysis, simulations of future B/S as of the selected date.
Scenarios to the level of user-defined market rates, behavioral curves, business plan alternatives
Financial instruments valuation
Web-based user-friendly interface running on open-source platform.
Fast and reliable tool for valuation of standardized financial instruments:
- IRS, CCS, FRAs
- FX forwards and swaps
- FX and equity options (vanilla and exotic)
- Caps, floor, collars, swaptions
Deposits characterization tool
Web-based user-friendly interface running on open-source platform. Allows for complex quantitative and qualitative analysis to determine liquidity and repricing profile for open-end products:
- Determination of core and non-core balances
- Liquidity run-off analysis
- Regression analysis of interest rate sensitivity
- Environment for qualitative IR sensitivity estimation
Operational Risk Data Collection (ORDaC)
Web-based loss event data collection tool that helps banks to have all operational risk data transparent and accessible.
The tool allows for:
- Consistent and robust collection of loss events and refunds
- Integration of internal and external databases
- Loss event categorization across:
- Business lines
- Loss event types
- Loss events overview and filtering
- Statuses for new loss events: opened, approved, rejected