Dynamic Credit Portfolio Management System
By Clement Ooi, Managing Director And EVP, Kamakura Corporation
This leading edge approach to credit risk modelling, harnesses all the available data and information and stands out on its own as a thought leader providing an alternative to the ratings business that is more forward-looking and grounded more in empirical data to yield an evidence-based model, providing transparency and also attribution to the drivers causing changes in the credit-worthiness of the counterparties.In addition, when integrated with the market information about the assets and liabilities (products, companies and SMEs, etc.) typically owned by the ultra high net worth or high net worth individuals in a private bank’s or wealth management unit’s portfolio, a one-by-one personal ecosystem profile of these individuals and their associated companies can be built up using the KRIS platform to provide the banks with the advanced credit analytical tools to monitor rigorously the “personal balance sheet” and credit profiles of these individuals, bringing the wealth management business to another level with this risk-based approach. KRIS is also embedded with portfolio risk management capability. Users could upload the portfolios and run Valuation, Stress Test Scenarios, Value at Risk simulations, Multi-Period Credit simulations as well as Credit Value Adjustment calculations based upon the relationship between PDs and Macro Factors. Most financial products can be modeled in KRIS or easily added. The easy to use interface provides the user with the ability to access the power of an enterprise-wide risk engine without the need for a costly implementation process or the time-consuming setup. A user can run a portfolio simulation and generate report output in a matter of minutes on an ad hoc basis and also do “what-if” type portfolio analysis.