Internal Models

Any risk model can be integrated in FACT, from simple scorecards, to models with complex financial logic.

Benefits

  • Store all your risk models centrally to reduce operating costs and duplication
  • Configure model logic and outputs to your needs
  • Get model updates live quickly
  • Integrate all your financial data sources into FACT
  • Set up automatic alerts for efficient monitoring of your portfolio

Ratings

Ratings help quantify, aggregate and manage risk across multiple portfolios and regions. You can use your own internal models or external commercially available models together. FACT’s flexibility means you can keep your models up to date while enforcing your internal credit policies. All factors related to your risk analysis are stored in a central database.

Internal Models

FACT can store a library of internal borrower and facility rating models of varying complexity including corporate, bank, commercial real estate, project finance, SME and retail models. Include a range of quantitative variables and ratios in your analysis, along with qualitative factors and commentary. Launch models in batch mode to monitor your portfolio on an ongoing basis.

Implement extensive Loss Given Default (LGD) and Exposure at Default (EAD) models using facility, transaction and borrower characteristics.

In the advanced Basel approach, the bank itself determines the appropriate EAD to be applied to each exposure. This is decided on the basis of analysis which is validated internally and by supervisors. A bank using internal EAD estimates for capital purposes can differentiate EAD values on a wider set of transaction characteristics (e.g. product type) as well as borrower characteristics.

Loan pricing tools calculate facility profitability based on cost and risk parameters. Cost parameters can be cost of funds, administrative costs, or interest rate risk costs. Risk parameters are the Probability of Default (PD), LGD and EAD parameters calculated by the respective models.
 

Key features

Supports multiple/various risk models – FACT can run different types of models such as scorecards and counterparty (PD) models for any type of borrower, as well as facility recovery models (LGD and EAD) and pricing models. The FACT team has extensive technical expertise in integrating models from all major third party providers.

Configurable – Configure risk models to include data items, validation, security rights, format, layout, unit or currency. Data items are tagged so you can manipulate them to perform calculations utilising C# coding. Implement your methodology using data from third party sources. Finally an output template is created using FACT’s unique report designer tool to display your results in the style and format you choose.

Integrated – FACT is a complete solution that integrates a rating engine, spreading tool and workflow module. Financial and non-financial factors are automatically updated, reducing the need for manual updating.

Ease of use – Your end users will benefit from a flexible and consistent interface. Outputs are easily exported to PDF, Excel and Word so data can be freely shared between users and portfolios. The expert FACT team will guide you through the entire implementation process from development to user training.

Approval process – Apply internal approval processes and workflows so you can make fast, secure and traceable decisions. FACT’s flexibility means your approval processes can be constantly updated to keep pace with your requirements.

Portfolio monitoring – You can run multiple models in batch mode to continually monitor your portfolio. Use automatic alerts to enforce your internal credit processes and keep management informed.

Local versions – Most widely-spoken languages are supported including French, German, Spanish, Russian, simplified Chinese and Japanese.

 

Internal Rating Model

Internal Rating Model

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