Athena - Credit Risk Transfer Analysis

Athena is an easy-to-use tool for the analysis of credit risk transfer transactions. Taking both the originator and the investor perspective, Athena shows the economic effects of a credit risk transfer transaction in function of transaction structure, macroeconomic (stress) scenarios and regulatory changes like Basel 4 and IFRS9/CECL. The typical users are responsible for credit portfolio execution, structuring of transactions, brokers and investors/asset managers.

Purpose

• Design credit risk transfer conditions that are optimal from both the investor and originator standpoint;

• Build a common language of negotiation between investor and originator;

• Compute capital relief achieved by risk transfer;

• Deliver visual and intuitive analytics to foster transparency surrounding risk transfer.

Functionalities

• Subset portfolio based on its characteristics and prepare a loan pool for risk transfer;

• Project portfolio development in future periods subject to different macroeconomic and regulatory conditions;

• Visualization of several risk indicators for existing and newly originated assets under different macroeconomic scenarios;

• Visual presentation of the impact of several macroeconomic scenarios on PD indices for portfolio configurations based on country and asset class;

• Project the different types of losses incurred on the portfolio (Basel ECL, IFRS9, CECL etc.);

• Generate favorable risk transfer inputs by an optimization algorithm designed by OSIS;

• Value the impact of risk transfer.

Installation

Athena is developed using open source software and deployed within the RStudio Connect online server environment of OSIS. The tool is deployed in the cloud and accessed online through the browser. The user is not required to install the software locally.

We would welcome the opportunity to discuss your requirements and see how we can assist, please email jeroen.batema@os-is.com or contact him on +31 70 32 60 370.