Portfolio Analyzer



Integrated stress testing and impairment solution for retail and SME segments.

Portfolio Analyzer is a robust impairment solution for forecasting probabilities of default (PD), loss given default (LGD), and prepayments for all retail credit lending portfolios originating in Western European countries. The solution leverages retail credit data from the European Data Warehouse and Moody's Analytics highly regarded economic forecasts to produce predictive measurements of loan behavior.

Portfolio Analyzer (PA) provides clients with a rigorous modeling framework based on unique data, sound assumptions and validated results, to generate credible outcomes under different stressed scenarios. Our solution provides a transparent and consistent framework to meet organization-specific needs. Download the full documentation.

Applications

  • Estimate PDs, LGDs and prepayments under stressed scenarios.
  • Assess future credit loss, capital estimates, and VaR contribution.
  • Analyze loans and future originations, vintages and credit scores.
  • Devise pricing and screening borrowers' risk levels at origination.
  • Detect deterioration early with robust monitoring features.

Key Features

  • Customizable model parameters and risk buckets.
  • Fully documented and transparent methodology.
  • Flexible and secure data entry/updating and exporting.
  • Detailed model validation documents.
  • Access to economists and risk practitioners.