SunGard Trading and Risk Systems released a new version of its credit risk management system Crediant.
The vendor says Credient 2.1 now includes CreditVaR calculations and support for issuer risk and credit derivatives. The upgraded product also provides more support for integrated credit portfolio analysis and exposure modelling as well as data aggregation and reporting in compliance with the Basel II Accord.
In addition, Credient 2.1 also incorporates exposures from credit derivative instruments, which are included in overall credit portfolio analyses.
For a more precise estimate of credit risk exposure, the system ties credit loss calculations into credit portfolio management, incorporating default probability and rate of recovery. Credient uses a proprietary CreditVaR methodology to produce near real-time estimates of the reserve and capital amounts incurred by a portfolio of deals.
Steve Husk, president of SunGard's Trading and Risk operating unit, adds: "By having a 'one portfolio' view for credit risk management, Credient not only captures those risks, but also provides a framework for portfolio optimisation and reporting.
"The consolidation of banking and trading book credit exposures also helps streamline the management of capital allocation and the reporting requirements that are increasingly required by the regulators," he says.
SunGard says a Credient commercial products module will be introduced during 2003 to provide support for commercial facilities including loans and trade-finance products such as letters of credit, bankers' acceptances and guarantees.