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Credit Concentration Risk (COREX)

Understand what makes you unique and assess the additional risk on your portfolio’s differences from the market average

The Challenge

Organisations want to understand their concentration risk drivers for use in ICAAP, risk appetite and more but might not have access to automated analytics to support a complete and intuitive understanding of their portfolio.

This credit concentration risk solution allows organisations to analyse per region, sector and product concentrations. The model has been developed using a variance covariance-based approach, which focuses on the expected differences in loss volatility between a “fully diversified” reference portfolio and your organisation’s current portfolio.


Pillar 2 capital add-on calculation

24/7 direct model access

Region, Sector and Product Concentration analysis

Sensitivity analysis

Visuals and graphing to support intuitive understanding

Audit trail of model runs

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How it works

Resolve your capital challenges and take control of your business risks with confidence