Z-Risk Engine® (ZRE) provides a highly accurate, centralised, and integrated solution supporting global bank’s compliance for IFRS9, CECL and Stress Testing regulations.
ZRE is a proven and efficient route to regulatory compliance for CROs and CFOs that also delivers potentially up to a 30% reduction in IFRS9 modelling operational costs. As an advanced suite of Python or SAS® based software that works with a bank’s own IRB wholesale internal credit models, ZRE unlocks complex industry and regional credit cycles to accurately convert TTC PD, LGD and EAD models into PIT measures. Whilst lowering implementation risk, the solution is also highly configurable and customisable to support large bank’s detailed portfolio mix of commercial, corporate and bank clients.
ZRE already projects bank ECLs for up to 40-year exposures in a Python Production implementation for a key Asian bank, as described in a forthcoming case study. The ZRE Team has recently presented key components of an overall framework for Climate Stress Testing at recent climate conferences and are developing a Climate Module to assess long-run climate risks under various climate scenarios. The approach under development would support both regulatory climate scenarios and internal strategic scenarios supporting dynamic portfolios analysis.