The Credit Manager module is your main interface to manage all credit terms
and conditions:
The Credit Module allows you to:
- Define Accounts, Counterparties and Obligors.
- Slice, Dice and Aggregate User Defined Credit Risk Dimension Tags.
- Create Hierarchies of Guaranteed Counterparties to Model Home Office
Subsidiary Relationships:
This setting allows you to create guaranteed parties. A Guaranteed
party's Loss is therefore covered in part or in whole when a loss is
incurred during default, and the parties posted collateral is not sufficient
to cover the loss.
- Apply simple or
complex Netting Agreement Rules.
- Define Static or
Stochastic Recovery Rates for Both senior and junior rating rank
classes.
Measure Country Exposure through Account
and Counterparty Exposure net of collateral.
- Define Credit
Exposure Confidence Intervals for Simple Credit Exposures or Tail
Widths, Bucket Sizes at each Account level or group of
accounts for Advanced Credit Exposure calculation.
- Convert and integrate different Rating
systems and Rating probabilities.
- Define
multiple Rating System Conversions and Weights to Compute Minimum
Equity Buffer
Capital for Margin Calculation and AAA DPC credit enhancement (Moody's,
S&P, FSA or proprietary calculations.
- Transform one Transition Matrix from one
Rating System to another.
- Interpolate or Extrapolate one Transition
Matrix from one Horizon to Another.
- Define, Import
and Blend Hazard Rates, Cumulative Hazards, Survival Rates, Forward
or Expected Default Probabilities to Generate Continuous or
Discreet Credit Curves.
- Apply Contraction or
Growth Rates and compute Country Exposure
and limit Excess.
- Assign Country Default Probabilities
through Rating
Ranks to compute country default loss and thus incorporate
devaluation loss, exchange controls and other unexpected
political risks.
- Maintain Credit curves or Credit
Default Curves to compute:
- Loss Given Default during Termination Simulation
- Cost of Downgrade or Upgrade during Migration analysis.
- Cost of Default during Time to Default or Survival Analysis.
- Price Credit Derivatives such as CDS, Total Return Swaps or
Equity Default Swaps.
- Couple Obligor Correlation and Credit Curves to compute Time to Default
of Credit Sensitive Portfolios.
- Price and Hedge CDO Tranches.
- Convert Transition Matrices into Credit
Curves.
- Apply directly
one or Multiple Transition Matrices to generate a Markov Chain of
Rating states over multiple simulation horizons.
- Simulate Full
Migration States from one or multiple transition matrices with
interest rate spread curve downgrade/upgrade.
- Use Obligor
Correlations and specific risk (Obligor/Firm Specific Risk) to
compute Correlated Defaults.
- Use obligors to
compute Time To Default via Copula.
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Credit Functionality
The credit manager interface includes two important features designed to make the module easier
to use:
Snap-Shot
The Snap-shot is designed so you can test changes without modifying the original data.
Snap-shot mode sends the data to the engine, but does not affect the active
copy that resides in the database.
Snapshots are useful for What-if scenarios and for testing purposes.
Groups
Groups allow you to create new copies of data in the database.
You can obviously only have one active group at a time.
The active group is always the last group you have selected in a given context.
You can also selected your active group in the Credit Default Data View.
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