Delta Suite

Portfolio Credit Risk

Delta Hedge’s Portfolio Credit Risk solution calculates expected and unexpected credit portfolio losses (credit VAR, expected shortfall, risk contributions) based on a comprehensive toolbox of analytical and MC-simulation approaches.

For the calculation of economic capital and associated measures, our solution supports:

Factor models: supporting CreditMetrics-like models with extensions, such as Hull-White, copulas other than Gaussian, and efficient importance sampling techniques in order to speed up computations. A drastic increase in performance is further given through the use of the saddlepoint technique and Grid-Computing (Threaded Monte-Carlo, Grid MC).
CreditRisk+: supporting the classical CSFB approach with all available industry advancements, such as replacement of the unstable Panjer algorithm, extension to a migration mode view, and explicit consideration of sector correlations.
Custom calculation methods can flexibly be implemented on demand, accounting for specific needs of clients in search for custom-tailored and more sophisticated systems.

Strong points of the solution are:

Extremely fast capital allocation thanks to Grid-Computing and analytical methods & approximations (Saddlepoint technique, CreditRisk+)
Complete coverage of all your financial instruments: Any desired instrument can be defined by the user in just a few steps thanks to the innovative building-block approach created by Delta Hedge.
Integrated risk-adjusted credit pricing, ensuring availability of meaningful risk premiums at the push of a button
An integrated credit limit management can be achieved.

Learn more about our solution in our Porfolio Credit Risk Solution Fact Sheet as well as in the Portfolio Credit Risk Whitepaper.