What is the probability that your counterparties or customers
will default? In the event of default, what will you recover? How will the value of your investments
change if the issuer suffers a downgrade? What level of provisioning is appropriate given the
stage of the economic cycle? What is the impact of correlation on default? Multiple questions
that all focus on credit risk. Multiple questions that Fiserv IPS-Sendero will answer for you.
Underpinned by the research of Professor Robert Jarrow and Dr. Donald van Deventer, IPS-Sendero
KRM is a sophisticated solution for measuring the potential credit exposure across all asset
classes, ranging from banking book products such as mortgages, consumer loans and credit cards
to structured products such as CDOs and complex option-based derivatives. IPS-Sendero KRM is
also a sophisticated solution for modelling the default risk of counterparties and customers,
whether public firms, private firms or individuals.
Utilising an integrated multi-period simulation engine, path dependent cash flows incorporating
future simulated default events can be generated and valued. IPS-Sendero KRM contains an integrated
stress testing and scenario testing framework which allows correlations between risk factors
to be taken into consideration and the evolution of risk factors modelled through the economic
cycle.
IPS-Sendero KRM provides:
- Reduced form and structural models;
- Implied PD models (risky bonds and credit default swaps);
- Logistic regression PD models with user-defined variables;
- Collateral and hedge relationships;
- Credit VAR;
- Credit-adjusted income simulation;
- Expected loss distributions and analysis
- Macro risk factor analysis;
- Economic capital modeling.
Fiserv IPS-Sendero also offers an online credit risk information subscription service (KRIS).
KRIS incorporates:
- Multiple structural and reduced form default models;
- Term structure of defaults for all names (KDP);
- Pair wise correlations for all names;
- Business mortality model to predict default for credit-risky private firms;
- Synthetic CDO valuations under multiple models and correlation approaches
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