AVATI Solutions
Credit Risk Engine

Credit Risk Engine

Standalone comprehensive and scalable web based solution for deployment of Credit Rating and Scoring models for wholesale and retail banking portfolio. Our solution greatly enhances the objective capability of the bank to identify, evaluate, assess and manage counterparty and facility credit risk across multiple portfolios. Web based system which can be deployed across platform supporting wide user base. Can configure & host all types of credit models.

Overview

  • Comprehensive and scalable web based solution for Credit rating / scoring for wholesale and retail banking which can be deployed across multiple branches and departments.
  • Provides financial institutions a robust and flexible modeling platform to efficiently build credit rating scorecards / models for credit risk evaluation and estimation for all asset classes, counterparties and product types.
  • Capability to define and include risk drivers, parameters, complex transformation rules, weights and lookups at multiple levels in any form required by the business rules governing the bank's credit decision making process.
  • Provision to maintain counterparties and model any type of related quantitative and qualitative information in user defined formats.
  • The model is fully compliant to Basel guidelines and captures all information for model validation and modification, back testing, risk parameter estimation - PD, LGD and related risk parameters.
  • Integrates risk data from internal sources and supports the workflow encompassing the rating / scoring process. It includes standard portfolio analyses such as group reports, rating migration and benchmarking.

Key Features

  • Solution uses a proprietary concept - Fact Sheet - which can be effectively leveraged for capturing financial spreads, calculating ratios, building quantitative, qualitative information, evaluation parameters, scorecards and models, based on business user requirements. Complete flexibility in defining custom templates for capturing counterparty / facility data / transaction data.
  • Quantitative, qualitative, derived and transformed data analysis feature to easy to configure custom-built data and judgmental parameters.
  • Evaluation parameters - whether quantitative, qualitative and transformed - can be intuitively constructed by the model creator.
  • Custom built Validation checks for authentication and review of all evaluation parameter definitions.
  • Flexibility to host multiple risk rating models / scorecards - application and behavioral PD & LGD - for rating Obligor / Facility / Industry / Transaction.
  • Pre-configured rules for model selection based on Model Applicability Criteria. Solution can also support over rides to this business process.
  • Enables development of multiple Grade scales with specific definitions or categories of risk. Optional linkages to Master Rating Scale.
  • Capability to configure facility risk evaluation workflow process by linking multiple rating models and instances to produce a facility or transaction rating.
  • Automatic linkage of Industry Rating to an Obligor rating process if mandated by Obligor Rating workflow.
  • Enables a menu driven interface for development of Rating model framework through business-user friendly graphical user interface.
  • Can enable linkage of data, ratios, qualitative and judgmental parameters within a new evaluation parameter of model for conduct of rating / scoring.
  • Highly configurable Model and evaluation parameter overriding rules and adjustments to execute atop a rating scorecard / model. The adjustments can be modeled at any stage and hierarchy of the rating model and risk evaluation process.
  • Enables required update and customization of existing model / Assessment methodology as required by business / risk periodically with complete historical data for calibration purpose.
  • Flexibility in assigning scores and weights to model defined parameters as defined by the business rules of the model.
  • The product offers the capability to host multiple risk rating / scoring models. Some model examples are:
    • Retail Rating Scorecards
    • Wholesale Rating Models
    • Small/Medium/Large Corporate
    • Linear Rating Models
    • Non Linear Rating Models