There are a range of different approaches to Credit Portfolio Risk Analysis, which vary substantially in terms of their overall approach and applicability.

One family of methodologies that is widely used within banks, computes what is known as 'Economic Capital' - which is an attempt to calculate a risk-based figure that can be related to the capital resources that are required to 'cover' those risks.

RCRT Portfolio Analysis and Economic Capital Tools and Software

The RCRT Advanced Credit Portfolio Model is an credit portfolio risk analysis tool based on our advanced credit risk modelling techniques. The model can calculate a wide range of portfolio risk analysis measures, including economic capital. The model has been designed to deliver both high performance and flexibility, and is designed to 'plug in' to an existing systems infrastructure via xml-based application interfaces.

The 'grid-enabled' version of the model uses our XML-Space and Exciton Framework distributed and parallel processing technologies to provide huge processing power, where necessary.