The RiskGuard* Credit Risk Module covers basic and advanced calculations of different measures of credit risk, in accordance to Pillars 1 and 2 of Basel II:

• Calculation of credit risk exposures for on- and off-balance sheet risky assets
• Estimation of credit transition matrices
• Estimation of principal measures of credit risk (PD, LGD, EAD, maturity, expected loss, unexpected loss)
• Calculation of risk-adjusted performance measures (economic capital, WACC, ROIC, RAROC, EVA)
• Estimation of credit risk mitigation effects on exposure and calculation of haircuts
• Calculation of measures of concentration and overexposure:

- Concentration risk for large corporate exposures

- Concentration risk with respect to name, sector and rating

- Indicators of limit breaches for large exposure

- Advanced measures (Herfindahl-Hirschman Index and Concentration Ratio)

• Stress testing of internal credit risk models
• Backtesting and indicators of limit breaches
• Calculation of credit risk capital charges according to Basel II Standardized Approach (SA):

- Risk weighted assets and capital charges for on-balance sheet items

- Risk weighted assets and capital charges for off-balance sheet items

- Risk weighted assets and capital charges for non-market related derivatives, based on original exposure and mark-to-market methods

• Calculation of credit risk capital charges according to Basel II Internal-Ratings Based (IRB) Approach, based on advanced measures of credit risk