Credit rating and scoring

Credit Rating Module provides a state of art tool for assigning credit ratings to retail, SMEs and large corporate entities. Module encompasses:

Estimation of PD

  • Coefficient calibration based on logistic regression

Estimation of LGD

  • Coefficient calibration based on logistic regression

Model validation

  • Out-of-sample testing in accordance with Basel requirements

Mapping PD and LGD into alphanumeric rating grades

  • Estimation of conditional, expected and unexpected loss
  • Direct mapping into the required amount of impairment and provisions
  • Direct inclusion in IRB models for managing credit risk

Transition matrices

  • Transition probabilities over one-year and multiple-year horizon

Portfolio segmentation

  • Credit rating for retail, SMEs and large corporate exposures