Risk Migration Analysis System
Risk Migration Analysis system provides a powerful and intuitive tool
for performing risk migration analysis - delivering compelling benefits
to financial institutions. It provides four primary functions to
risk migration analysis.
system includes a robust utility for the periodic update of loan
data in the portfolio. It accepts comma delimited files from source
systems to populate the database with historical loan transaction
define pools within the portfolio by applying dimensional filters
(e.g., Vintage Date, Customer, SIC, Collateral Type, etc.) to
the portfolio of loans. Loan details can be viewed by date and
exported to a report.
system provides a simple and flexible process for performing Historical
Migrations (using a dynamic flow model) and predicting Expected Loss (using a Markov Chain). Migration results are
reported for the pool with underlying loans and obligors identified
for every rating migration through a drill-down report.
- Risk Migration
reports are exported to MS Excel and/or MS Access.
can be accessed with standard desktop tools (e.g., MS Excel and
MS Access). This enables end users to customize report formats and
extend standard system reports with add-on calculations and graphics. Several
pre-formatted Excel reports are included with the Risk Migration
Migration for a Commercial Portfolio
Profile for a Specific Risk Rating
Report for a Specific Ratings Transition
Delinquency Migration for a Retail Portfolio Subset (Dynamic Flow Model)
The system employs a historical database built using data extracted from the loan accounting system. Intricate to the build process is a series of robust and powerful rules ensuring the quality of the data used to perform migration analysis.
Migration Metrics Technology
The Risk Migration Analysis system was designed and built by a multidisciplinary team that included experts in credit quality, migration analysis, data movement and database compression technologies. A standard implementation runs on a MS Windows-based server and is accessed through a secure browser interface. The system is built entirely in Java – making it platform independent. The thin-client user interface provides access via standalone or networked configurations.
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