Portfolium – Credit Economic Capital

Portfolium – Credit Economic Capital (CPRA- Credit Economic Capital) is a powerful Monte Carlo simulation based credit portfolio modelling solution that can be used for various kinds of credit risk concentration analyses (in particular credit economic capital) that feed into other credit risk management processes such as risk-adjusted performance measurement/pricing (i.e., RAROC, EVA and more), ICAAP, credit stress testing, risk appetite and limit setting, contact AnalytiX Boutique for a demo:

  • Underlying methodology uses well established CreditMetrics approach with key enhancements like PD/LGD correlations or importance sampling  to compute credit economic capital.
  • Portfolium – Credit Economic Capital user-friendly web interface enables fast preparation of model runs  facilitating the calculation of credit economic capital.
  • Availability of multiple capital allocation approaches with detailed output regarding the corresponding simulation results, providing insights on the contribution to total credit economic capital of each of the portfolio components and segments.
  • Parallel computing capabilities allow for usage of multi-CPU server environments.
  • Portfolium – Credit Economic Capital simulation mode (mark-to-market vs. default/no-default) can be assigned at an individual instrument level
  • New deals can be assessed for pricing or RAROC purposes without having to re-run the entire portfolio credit economic capital
  • Open source code to further customise tool to clients’ requirements

AnalytiX Boutique

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