Credit Risk

Applies Basel II/III requirements on credit modelling (residential mortgages, revolving credit, wholesale corporate and sovereign debt, and miscellaneous credit), computes Regulatory Capital (RC), Risk-Weighted Assets (RWA), and Economic Capital (EC), given inputs such as historical default data to compute Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).

Market Risk

Computes Gross Value at Risk (VaR) and internal simulated VaR with various holding days and VaR percentiles. Includes Central Banking Methodology

**Operational Risk**

**Applies ****ll of Basel’s Operational Risk methods such as the B****asic Indicator Approach (BIA), ****Standardized Approach (TSA), Alternate Standardized Approach (ASA), Revised Standardized Approach (RSA), and Advanced Measurement Approach (AMA) are supported in the software. Monte Carlo Risk Simulation methods are used in concert with convolution of probability distributions of operational risk Severity and Frequency to determine Expected Losses (EL), Unexpected Losses (UL), and estimation of Basel’s OPCAR or Operational Capital at Risk values for the AMA approach.**

**Liquidity Risk**

**Models Asset Liability Management approaches to compute Liquidity Gap, Economic Value of Equity (EVE), and Net Income Margin (NIM) based on interest rate risk and liquidity risk, with stress testing and scenario analysis**

**Analytical Models**

**Provides structural, time-series, portfolio, and credit models on estimating PD, EAD, LGD, credit exposures, options-based asset valuation, volatility, debt instrument valuation, Credit Conversion Factors (CCF), Loan Equivalence Factors (LEQ), and a myriad of other models**

**Monte Carlo Risk Simulation**

**Allows accessing to 50 probability distributions, including Extreme Value Distributions (EVT) for estimating and simulating Severity of Operational Losses (e.g., Fréchet, Generalized Pareto, Gumbel, Logistic, Log-Logistic, Lognormal, and Weibull) and Frequency of Operational Risk Events (e.g., Poisson)**

- Windows 7, 8, or 10 (32 and 64 bits)
- Microsoft .NET 2.0, 3.0, 3.5 or later
- Excel 2013, 2016, or later is recommended for report extraction but required
- 350MB Hard Drive space
- Administrative Rights to install software
- MAC OS users can run the software as long as they have Bootcamp, Virtual Machine, or Parallels