Our solutions
Risk Controller is our new-generation, multi-period credit portfolio model supplying consistent risk measures at different horizons. Whether you need to calculate capital for a large portfolio, monitor the marginal risk contributions of individual exposures for pricing purposes, or devise risk-return efficient trading strategies, this application provides a flexible, user-friendly framework for business decision making. The model is uniquely well-designed for analyzing risk transfer transactions such as securitizations in that on and off balance sheet exposures are consistently modelled.
Risk Controller's underlying analytics are based on direct modeling of cash flows and avoid approximations such as loan equivalent exposures. Valuations and expected loss numbers produced by the model are therefore rigorous and may be used in provisioning and fair value assessments of portfolios.
Risk Controller is a mature and thoroughly tested application that has been used by leading banks as a key part of their risk evaluation system. We have also employed it in a wide range of consulting assignments with top financial firms. Members of our research team played a key role in advising the Basel Committee on the financial engineering that underlies Basel II.