Credit Risk Management
Credit risk is the possibility that the value of financial transactions or a credit portfolio deteriorates through the worsening of the creditworthiness of debtors. We offer a package system "CreditGauge", with which the user can measure the credit risk of a credit portfolio. Various functions are implemented in CreditGauge, to enable the user to compute a wide range of risk measures. For instance, using CreditGauge, the user can calculate EL (Expected Loss), which is the average credit loss occurring within a year, and VaR (Value at Risk), which is the maximum credit loss within a certain confidence interval. These risk measures are calculated based on the rating of debtors and the fundamental data of a credit portfolio, including EAD (Exposure at Default) and LGD (Loss Given Default).
Patents earned for a fast and highly accurate method of calculating credit risks of portfolios both in Japan and in the US
We are pleased to announce that, both in Japan and in the United States, we have earned the patents for a method and apparatus of quickly and accurately calculating credit risk of portfolios.
Please see the document here for more information about this invention. (US patent number 7627511.)