Domain 02 · Credit Risk
PD, LGD, EAD.
Every credit metric,
one API.
55 functions covering the full credit risk spectrum — from IRB capital models and IFRS 9 ECL through to CVA/DVA/XVA and counterparty credit risk. Basel III/IV and IFRS 9 compliant.
55
Functions
6
Categories
Basel
IRB compliant
IFRS 9
ECL framework
Function library
55 credit risk functions
Showing all 55 functions
Key capabilities
Built on institutional credit expertise
IRB Foundation & Advanced
Full implementation of both IRB approaches under Basel III/IV. Computes RWA, capital requirements, scaling factors and maturity adjustments per the CRR2 framework.
SA-CCR Counterparty Risk
Standardised Approach for Counterparty Credit Risk (SA-CCR) as mandated under CRR2. Replaces CEM and SM with replacement cost and PFE add-on computation.
Full XVA Suite
CVA, DVA, FVA, KVA and MVA computed consistently from the same EPE/ENE simulation engine. Supports both unilateral and bilateral valuation adjustments.
Regulatory alignment
Standards covered
✓
Basel III / IV IRB — CRR2 / CRR3
Foundation and Advanced IRB with output floor, SME correlation factors and revised standardised approach.
✓
IFRS 9 — Expected Credit Loss
3-stage ECL model with scenario-weighted PD, macroeconomic overlays and lifetime vs 12-month segmentation.
✓
SA-CCR — CRR2 Article 274
Standardised Approach CCR replacing CEM. Replacement cost, PFE add-on and aggregated EAD per netting set.
✓
CVA Capital Charge — Basel III
SA-CVA and BA-CVA capital charges as per Basel III final rule. Supports both full and reduced hedges.
API example
IFRS 9 ECL endpoint
POST /api/v1/credit/ecl
{
"exposure": 1000000,
"pd_stage1": 0.012,
"pd_lifetime": 0.087,
"lgd": 0.45,
"stage": 2,
"macro_scenarios": [0.3, 0.5, 0.2]
}
→ ecl_12m: £12,000
→ ecl_lifetime: £39,150
→ scenario_weighted_ecl: £28,400
{
"exposure": 1000000,
"pd_stage1": 0.012,
"pd_lifetime": 0.087,
"lgd": 0.45,
"stage": 2,
"macro_scenarios": [0.3, 0.5, 0.2]
}
→ ecl_12m: £12,000
→ ecl_lifetime: £39,150
→ scenario_weighted_ecl: £28,400