Risk Ratings & CRE Modeling
Banks are facing increasing pressure from regulators and rating agencies and risk ratings are the cornerstone of every credit risk application. Most banks are challenged with developing dual risk ratings scales that can effectively parse out borrower (the probability of default) and collateral (the loss given default) risks.
Banks also need to have a system that produces consistent, well distributed, differentiated and transparent risk ratings. It is often the case that only very limited or no data is available to do this, especially in the case of low default portfolios like Commercial Real Estate
SunGard can help. SunGard’s Ambit Risk Consulting provides a comprehensive solution to the development and validation of risk ratings systems.
Features
- Produces scorecards for C&I, CRE and Retail
- Develops point in time (PIT) and through the cycle (TTC) estimates of PD and LGD and adjust for seasonality
- Provides benchmark data and a proprietary “fundamental” CRE model which requires no default data to run. It stress tests the drivers of LTV and DSC, including cap rates, rental rates, occupancy rates and interest rates.
Benefits
- Ensures inputs that go into credit risk applications like ALLL, Economic Capital, Pricing and Profitability are correct.
