What is CAT?

QRR Credit Analysis Tool (CAT) allows to perform calculations of multiple risk measures for credit portfolios at multiple levels of aggregation, including economic capital, expected loss, VaR, expected shortfall and VaR attribution.

CAT also performs optimization of credit portfolios maximizing the economic benefit. The user can apply multiple restrictions (economic capital, expected loss, …) for each position, business area or for the entire portfolio. The tool allows to compare the optimized portfolio with the original in an easy and comprehensible way.

CAT takes advantage of general purpose graphic processing units (GPGPU) to attain optimal numerical performance when tackling large optimization problems which involve a large number of positions.

Features

  • Analysis of credit portfolios, including the diversified and non-diversified VaR at different levels.
  • Optimization of credit porfolios, based on the maximization of economic benefit.
  • Rich report generation of the analysis and optimization performed.

See Credit Analysis Tool