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Features
Easily integrating custom and off-the-shelf credit models, Credit Risk Modeling offers a proven, scalable platform that enables all types of financial organizations to improve the methodology and accuracy of managing credit risk.
Hybrid credit risk models
The Citigroup HPD Models are 'hybrid' credit risk models that draw on market information (such as equity prices and volatility) as well as financial statement information (such as profitability, leverage, and firm size). This methodology corrects some of the performance issues associated with purely structural models, which tend to be prone to 'false positive' and premature sell signals.
Single point of access
Asset managers, analysts, and decision makers can access an entire network of models, data, and sophisticated risk analysis tools from a single point of access. Clients can choose from a variety of proven models, delivered in a seamless fashion through an Internet or Intranet network, across the broadest model coverage available to best suit individual needs and credit philosophies.
Pre-configured and custom model support
Through the CreditVantage suite of off-the-shelf PD and rating replication models, Algorithmics offers an unparalleled range of default risk modeling solutions. Credit Risk Modeling also supports custom-built models, which can be provided through Algo Credit Advisory to accommodate specialized portfolios, niche markets, and internal projects.
Seamless Integration
Credit Risk Modeling is based on the same, award-winning risk architecture of other Algorithmics credit risk and capital management solutions. Financial institutions can confidently integrate credit model products with other installed and hosted risk management solutions that leverage Algorithmics' financial engineering and software development expertise.