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AVRA Default Statistics

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AVRA Default Statistics

AVRA Default Statistics is an interactive user interface product which provides end-to-end management of the entire suite of statistical models.

AVRA Default Statistics is a GUI based product that aides institutions manage IFRS 9, Basel & IRRBB models for which Financial Institutions have either adopted benchmark models, hired external consultants or recruited skilled team of resources.
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With the advent of new regulations, Models have come under rigorous scrutiny by Auditors/Regulators, and Financial Institutions are expected to defend these ‘black-box’ models even when they don’t fully understand them. AVRA Default Statistics provide an efficient alternative that is cost-effective, robust & user-friendly and offers model transparency along with process efficiency.

Key Features
Key Benefits

Fresh Development- The system offers a comprehensive suite of functionalities to develop models from the scratch using Bank’s own raw data

Validation & Monitoring- The system is armed with a robust quantitative validation module to assess and monitor the performance of models and uncover vulnerabilities

Existing Calibration- The system is embedded with advanced proprietary methodologies to calibrate models even with scarce data availability and low default portfolios

Automation- The system is also an efficient & auditable platform for Banks to host their existing models that are typically built on Excel sheets or SAS, R or Python codes

Reporting- AVRA offers deep analytics & reporting framework to assist banks with scenario assessment, outcome analysis, portfolio risk monitoring and for producing model reports for multiple stakeholders

End to End Process- The system enables Data Loading & Transformation, Exploratory Data Analysis, Segmentation, Factor Selection, Model Estimation, Challenger Models & Performance Testing

Overlays & Projections- The system is capable in estimating Macroeconomic Correlation, Point in Time Estimation, Forward looking projections, Scenario Analysis & Stress Testing

Extensive Model Coverage- The system covers Probability of Default Models, Loss Given Default Models, Credit Conversion Factor & Prepayment Models for Retail, Corporate, FI and Investment portfolios

No Coding: The system is completely GUI based and does not require any coding expertise

Governance & Auditability: The system enables institutions to inculcate governance and audit trail framework in complex, sophisticated and judgement oriented analytical decisions as well

Please feel free to contact us for any inquiries
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