VaRisk Credit Risk
VaRisk Credit Risk
Windows & Web App

VaRisk Credit Risk is a computer program running on Microsoft Windows and on the web to analyze the credit risk of individual and corporate loans. Characteristics / scoring parameters can be determined by the user and the system automatically determines the weighting is based on the selected sample. The system provides information on the accuracy of the scoring in the form of the Gini coefficient or Wilk's lambda. This software helps banks and finance companies perform credit risk analysis.

Features include:

  • Supports application scoring and behavioral scoring or scoring for other purposes
  • User-defined parameters and characteristics for the grading system
  • Supports the grading system based on risk groups such as borrower and facility risk or ability & willingness risk
  • Score weighting calculated automatically by the system based on the selected sample data
  • Calculates scores per debtor (with details of their attributes) for the benefit of decision making in the determination of credit or limit
  • Supports good / bad distribution report in the form of histogram
  • Supports Receiver Operating Characteristic graph with Wilk's Lambda
  • Supports Cumulative Accuracy Profile (power curve) graph to evaluate the accuracy of scoring/rating system with Gini coefficient
  • Calculates the probability of default (PD)
  • Calculates Credit VaR for the credit portfolio
  • Supports capital charge using Standardized Approach and IRB Approach Basel II