Credit Portfolio models continue to play a key role in measuring and managing credit portfolio risk throughout the industry. Although most market players have undergone (sometimes multiple) implementations during the last two decades, more and more are moving away from black-box vendor solutions to transparent custom implementations, where they also take control over the calibration data.
Fintegral has been implementing credit portfolio models for many years. We support our clients in every stage from design and development through to the implementation and calibration of the model. We are enabling clients to achieve full transparency in their modelling and data. Going beyond the standard CPM by customising the model is not an unusual task for us - we have implemented concentration risk add-ons, and CPMs merged with counterparty credit risk to allow for the measurement and monitoring of wrong-way-risks.