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Credit Risk - CREX

Bring your portfolio’s dynamics to life using your core Credit Risk inputs (PD, LGD, EAD & Rho) to generate credit portfolio risk and capital outcomes for use in risk-adjusted pricing, capital measurement and more

The Challenge

Organisations want a complete and intuitive understanding of their portfolio credit risk drivers as they relate to portfolio specific correlations and concentrations to meet regulatory expectations. However, current benchmarks available are complex and aren’t accurate or bespoke enough which poses a challenge for organisations to gain a full understanding of their credit risk portfolio.

This credit risk solution for banking and investment management organisations, applies the "as-simple-as-possible" modelling principle to allow organisations to generate portfolio credit risk capital and risk outcomes that is reflected in their bespoke risk profile, while being understandable and simple to use.


Generate portfolio CR capital figures for use in ICAAP / ICARA reporting

Full loss distribution graphing

Straightforward model operation with powerful user interface

Link correlation assumptions to your loss experience or external reference points

Granular risk allocation

Analytical approximations for both systematic and single-name risk allow for easy use and embedding

Importance Sampling to target tail simulations and thus materially reduce simulation error

Single Name risk calculation and allocation

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How it works

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