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ZRE Brochure
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- 2. Z-RiskEngine.com Wholesale credit riskover the past 30-40 years has exhibited pronounced cycles – with losses varying widely over time and across industries and regions. Coupled with new regulations for IFRS9/CECL and Stress Testing – this creates the need for Point-in- Time (PIT) models – PIT models for PD, LGD and EAD are capable of accurately assessing credit losses (ECLs) at all points in the cycle – across all borrowers and individual exposures. Unlocking Credit Cycles
- 3. Z-RiskEngine.com END TO ENDBUSINESS SOLUTION Brought to you by Aguais And Associates In Association with Deloitte Aguais And Associates, the makers of Z-RiskEngine, have developed a strategic association with Deloitte, a global accounting and advisory firm that allows the combination of Z-RiskEngine’s solution and Deloitte’s substantial advisory resources to provide a full end-to-end solution – implemented, validated and programme managed by Deloitte. Z-RiskEngine is an advanced solution for IFRS9/CECL and Stress Testing – developed and refined over the last 10 years – providing a single integrated customisable, Batch Analytics Solution for Wholesale, Corporate and Commercial Credit Portfolios – to successfully satisfy complex regulations. Why use Z in Z-RiskEngine? ‘Z’ represents our notation for credit cycles. First used in our publications in 1998, Z is the key to measuring PIT risks and unlocking credit cycles. Deloitte Business Impact Assessment Quantitative Impact Study Gap Assessment QIS Solutions Implementation Technical Advisory Z-RiskEngine Batch Solution Custom Z Model Calibration Tech Model Support for Compliance Ongoing Calibration Updates
- 4. Z-RiskEngine.com SOLUTION ARCHITECTURE Existing ClientModels and Data: PD, LGD, EAD and Stress Testing PIT MODULE Custom Industry-Region Credit Cycles provide: Consistent set of credit indices used in all models, reducing model complexity Assessment of PIT-ness of existing models Conversion of hybrid model output to PIT PIT PD, LGD and EAD measures Fully automated batch processing based solution Scenario Based Loss Expected Credit Loss Significant Deterioration Criteria from Client Unconditional Multi Period PIT PD PIT LGD PIT EAD Simulation #n Simulation #1000 Simulation #2 Simulation #1 Probabilities and Scenarios from Client or Regulator Simulation Bridge ECL MODULE SCENARIO FORECASTING MODULE Scenario #n Scenario #2 Scenario #1 Conditional Multi Period PIT PD PIT LGD PIT EAD Z-RiskEngine is a SAS® software based solution and is flexible to how SAS® is implemented within an institution. Utilising client data and existing credit and stress testing models, the solution provides full batch processing capability to apply customised industry/region credit indices and calculate credit losses.
- 5. Z-RiskEngine.com WHY CREDIT CYCLESMATTER BATCH PROCESSING Understanding industry-region credit cycles are paramount to converting TTC credit models into PIT ones before assessing ECLs – as can be seen in the graphic on the right – over the last 30 years using various measures like Credit Edge™ EDFs, US Loan Charge-offs and Moody’s Default rates – credit cycles are real and accurately assessing them is a key capability of Z-RiskEngine that supports IFRS9/CECL and Stress Testing in a single solution suite. 500,000+ PIT PDs, LGDs, EADs x10 years 500,000+ Stressed Losses x10 years 500,000+ IFRS9/CECL Expected Credit Loss x10 years BATCH PROCESSING Client Model Parameters Macro Economic Data Client PD, LGD, EAD Data Market Implied PDs Using industry and regional credit cycles customised to each financial institution’s own footprint and the batch processing capabilities of SAS®, the solution provides the full ECL calculations for each facility, counterparty, portfolio or any customised user defined segment in a few hours.
- 6. Z-RiskEngine.com THE BUSINESS CASE: Aproven solution that can provide substantial benefits Low Build and Operational Cost Solution batch automation leads to low build and operational costs at a time of large regulatory changes Accuracy More accurate and dynamic assessment of PIT risk (default rate, losses and exposure) customised to each institution’s portfolio of customers Compliance Trusted approach approved by UK regulators when AAA team built Basel II suite of models for two UK based global banks ABOUT Developers of world-leading Credit Analytic Solutions Aguais And Associates (AAA) was founded in 2014 to bring Z-RiskEngine’s world leading solution to market globally to support key regulatory initiatives for IFRS9/CECL and Stress Testing. The team successfully achieved two Basel II Waivers at large UK global investment banks and has pioneered dual PIT-TTC framework, implementing the approach for the first time in 2005. This PIT-TTC solution was officially approved in these two Basel II Waivers. The AAA management team has over 60 years combined experience developing, validating and implementing advanced wholesale credit models.
- 7. Z-RiskEngine.com Scalable One common scenario-based batchsolution for any regional or geographic footprint and across regulator applications (Basel II/III, IFRS9/CECL and Stress Testing) but with customised models Lower project execution risk End-to-end business model where Deloitte provides complementary services for implementation, process design, benchmarking and review services, reducing project execution risk Integrated One common solution covering all types of corporate and commercial credit models (PD, LGD and EAD) and all types of wholesale portfolio CONTACT To find out more about Z-RiskEngine please contact: Dr. Scott D. Aguais: +44 (0)7800 736587 SAguais@Z-RiskEngine.com GauravChawla: +44 (0)7833 322786 GChawla@Z-RiskEngine.com Aguais And Associates Ltd 20-22 Wenlock Road London N1 7GU, UK info@Z-RiskEngine.com Z-RiskEngine.com
- 8. 20-22 Wenlock Road LondonN1 7GU, UK info@Z-RiskEngine.com Z-RiskEngine.com BROUGHT TO YOU BY