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Benefits
With its diverse collection of default risk models and analytic tools, Credit Risk Modeling provides risk and compliance officers, portfolio managers, analysts, traders and financial professionals a vast array of solutions to analyze, evaluate and realize maximized profit on business opportunities.
Improves decision making
Default risk models provide banks, insurance companies, asset managers, and corporates with risk analytics essential to meeting a range of risk management and business opportunities, including:
- Analyzing borrower and counterparty credit quality within the credit approval and internal ratings process
- Validating or benchmarking internal ratings and risk estimates
- Making lending, pricing, securitization, investing, and hedging decisions
- Managing the credit portfolio (including "early warning" signals on deteriorating credits through the HPD model)
Increases access to industry-leading default risk measures
The Citigroup offering provides default risk measures that are grounded in extensive research and active risk management experience. Leveraging the research expertise of Citigroup's Risk Architecture Group, these models have served the internal credit risk management needs of Citigroup's business lines since the early 1990s.
Delivers unparalleled market coverage
The wide range of credit risk modeling solutions available through Algo CreditVantage provides the broadest and deepest credit model solution available in the market. Coverage includes developed and developing economies globally, listed and unlisted firms, and industry sectors including financial institutions, utilities and commercial real estate. Customized models, developed through Algo Credit Advisory, can further enhance client coverage.
Enhances accuracy of default risk estimates
The timeliness and accuracy of the default risk estimates generated through the Citigroup hybrid probability of default (HPD) models is due in large part to its pragmatic and highly intuitive methodology. HPD models combine risk measurement concepts from structural (or "Merton") models and from fundamental, regression-based models. More specifically, these Citigroup models draw on both market information (such as equity prices and volatility) as well as financial statement information (such as profitability, leverage, and firm size).