SAS has shipped a new software package for managing credit risk exposures in line with Basel II requirements.
The new product, SAS Credit Risk Management, is billed as "a comprehensive solution capable of performing credit data management, credit scoring, credit portfolio risk management and providing a credit risk dashboard".
SAS says the package helps organisations to assess the risk of potential credit losses both on the counterparty level and on the portfolio level, meet reporting and risk disclosure requirements and calculate both regulatory capital and economic capital.
In a recent report by Financial Insights, spending on default probability and loss given default systems is estimated to be $893 million in 2004, growing to $1,876 million in 2009 - a compound annual growth rate of 16%, or roughly four times the rate of overall IT spending in the industry.