OneSumX Credit Risk Solution

• Identifying credit ratings
• Giving the probability of default and migrations (transition) matrices (MMs)
• Defining descriptive characteristics, such as seniorities and regions
• Considering the hierarchy among counterparties and models behavior characteristics, such as recovery rates
• Defining and/or considering the market driven credit spreads.

• Calculates current and expected gross and net credit exposures
• Computes the degree of exposures in both default (EAD) and non-default cases
• Estimates potential future and effective credit exposures at more than one future date
• Identifies and considers volatilities and adjustments of credit exposures
• Tracks the evolution of credit exposures under static and dynamic credit and market conditions.

• Calculates both expected and unexpected losses
• Applies stress testing scenarios in all credit and counterparty risk parameters to measure and manage credit and counterparty risks
• Considers deterministic and/or stochastic scenarios
• Applies VaR risk measurements
• Considers wrong way risk and both specific and general sensitivities of counterparties
• Hedging strategies and credit enhancements are applied when needed

Stress testing is a crucial element of financial analysis. Institutions can employ it to identify their strength and robustness against expected and unexpected performances of risk factors. It also looks at related losses that arise usually during periods of financial crisis.

Institutions must be able to define deterministic scenarios for stressing those risk factors. These stresses can range from simple to complicated rule-based shocks applied to single and/or multiple and integrated risk factors.

In addition, the parameters of algorithms can be included for simulating the stochastic evolution of these factors named stress VaR. The impact of stress testing in Capital, Liquidity, Value and Income must also be calculated and reported accordingly.

Thanks to our dynamic analysis the evolution of risk factors can be simulated under consideration of the stress scenarios. The results are then used in the design of strategies. It provides maximum profitability with minimum expected or unexpected losses.