Risk Modeling
Portfolio-level PD / LGD / EAD, stress testing and CECL.
§ 01Summary
Portfolio risk and stress-testing adapter. Aggregates PD, LGD and EAD across the portfolio, quantifies concentration risk, runs macro-economic stress scenarios and estimates regulatory capital under CECL. Written for private-credit desks and bank workout teams.
§ 02Capabilities
What it does out of the box.
- Portfolio-level PD / LGD / EAD aggregation
- Concentration risk analysis
- Macro-economic stress scenarios
- Regulatory capital (CECL) estimation
- Rating-agency comparable estimation
§ 03I / O Contract
What you send, what you get back.
Field-level schemas and versioning available under NDA.
Inputs
- Position-level exposure book
- Obligor + collateral data
- Macro scenario definitions
Outputs
- portfolio_pd + lgd + ead
- concentration_risk_report
- stress_scenario_pnl[]
- cecl_reserve_estimate
// SAMPLE REQUEST
{
"portfolio_id": "p_...",
"scenarios": [
"base",
"adverse",
"severe"
],
"as_of": "2026-09-30"
}// SAMPLE RESPONSE
{
"portfolio_pd_wa": 0.037,
"concentration_risk": {
"top_5_obligors_pct": 0.28
},
"stress_scenario_pnl": {
"base": -412000,
"adverse": -1820000,
"severe": -3940000
},
"cecl_reserve_estimate": 2140000
}§ 04Use Cases
Where partners are deploying it.
- Private credit funds
- Commercial bank workout desks
- Regulatory capital planning (CECL)
// WHEN YOU'RE READY
Single-adapter licence unlocks Risk Modeling for one product. Vertical bundles and full-portfolio access are documented on the Partners page.