Model Authoring Platform

Implement and Maintain Internal Rating Models to Measure Credit Risk

Internal rating models to measure credit risks are subject to an evolutionary process. With the Model Authoring Platform, the entire life cycle of rating model implementation and maintenance is supported on one central platform:

Implementation of Credit Rating Models

Rating models are graphically implemented as rule trees and decision tables. There are no inherent limits on the complexity of computation and decision logic, and they can be structured and maintained by credit rating experts without any programming knowledge.

Test and Simulation for Rating Model Quality Assurance

The Model Authoring Platform provides a comprehensive test environment for rating model quality assurance. The graphical Test Editor is used to define test cases with input data and expected results. Direct test execution and rule validation by ratings experts is the decisive precondition for a high-performance test-driven approach. Only error-proof and completely tested rating models are deployed to operations.

Generation of Documentation of Rating Models

Complete documentation of ratings models is automatically generated from the graphical rule model. This documentation contains full scoring and rating logic, and corresponds to the rating models in operations.

Generation of Rating Services

Encapsulated and executable Rating Services (Java program code) are generated from the graphical rating models. Rating Services can be accessed and utilized from any third party application. If the risk parameters are calculated solely on the basis of quantitative information (e.g. without expert judgement), Rating Services can be executed fully automatically. Risk rating processes with a higher process complexity (such as expert judgement based on qualitative factors or complex approval processes) are performed in the Rating Manager.

Operationalization of Rating Models in the Rating Manager

The Rating Manager supports operational execution and administration of ratings. After modeling and successful testing, rating models are deployed to the Rating Manager. The Rating Manager provides the end-users (e.g. credit analyst, loan underwriters) a web-based user interface for the operational risk rating process.

Backtesting: Validate and Review Rating Models

Validations and calibrations are an integral part of the rating model life cycle. As part of backtesting, rating models are validated and reviewed with respect to their selectivity (for instance, annually pursuant to the Basel II IRB approach).

The Model Authoring Platform takes care of model adjustments resulting from backtesting, so the model administrator can directly manage model adjustments. The changes are then simulated and analyzed with respect to their impact on the credit portfolio.