CRisMac D2D

Description

CRisMac D2D is equipped to compute PD, LGD, EAD & K (Capital Charge) by using Statistical Models & AI Techniques. Analyzing large pools of historical loan data available with Bank’s,  Centralised Banking system (CBS) and external environment it predicts account wise Probability of Default (PD), Distance to Default (D2D) and Loss Given Default in each segment of bank’s loan portfolio.

Features

  • PD, LGD, EAD,  D2D & K are computed using contemporary extant guidelines as applicable.
  • The computed PD, EAD & LGDs are applied to compute Risk Weights through the FIRB method.
  • CRisMac presently boasts of 85% accuracy in these predictions.
  • The computed PDs can also be applied to compute Risk Weights through the FIRB method.