Wholesale credit risk has exhibited pronounced cycles over the past 30-40 years, with losses varying widely over time and across industries and regions. Z-RiskEngine is an advanced solution developed over 10 years that provides a single integrated batch analytics solution for wholesale, corporate, and commercial credit portfolios to satisfy IFRS9/CECL and stress testing regulations. The solution uses custom industry-region credit cycles and clients' existing models and data to calculate point-in-time risk measures and expected credit losses.

1. Unlocking credit cycles

2. Z-RiskEngine.com
Wholesale credit risk over the past 30-40 years
has exhibited pronounced cycles – with losses
varying widely over time and across industries
and regions.
Coupled with new regulations for IFRS9/CECL and
Stress Testing – this creates the need for Point-in-
Time (PIT) models – PIT models for PD, LGD and
EAD are capable of accurately assessing credit
losses (ECLs) at all points in the cycle – across all
borrowers and individual exposures.
Unlocking Credit Cycles

3. Z-RiskEngine.com
END TO END BUSINESS SOLUTION
Brought to you by Aguais And Associates
In Association with Deloitte
Aguais And Associates, the makers of Z-RiskEngine, have developed a
strategic association with Deloitte, a global accounting and advisory firm
that allows the combination of Z-RiskEngine’s solution and Deloitte’s
substantial advisory resources to provide a full end-to-end solution –
implemented, validated and programme managed by Deloitte.
Z-RiskEngine is an advanced solution for IFRS9/CECL and Stress Testing – developed
and refined over the last 10 years – providing a single integrated customisable, Batch
Analytics Solution for Wholesale, Corporate and Commercial Credit Portfolios – to
successfully satisfy complex regulations.
Why use Z in Z-RiskEngine? ‘Z’ represents our notation for credit cycles. First used in
our publications in 1998, Z is the key to measuring PIT risks and unlocking credit cycles.
Deloitte
Business Impact
Assessment
Quantitative
Impact Study
Gap Assessment
QIS
Solutions
Implementation
Technical Advisory
Z-RiskEngine
Batch Solution
Custom Z Model
Calibration
Tech Model Support
for Compliance
Ongoing Calibration
Updates

4. Z-RiskEngine.com
SOLUTION ARCHITECTURE
Existing Client Models and Data: PD, LGD, EAD and Stress Testing
PIT MODULE
Custom Industry-Region Credit Cycles provide:
Consistent set of credit indices used in all models, reducing model complexity
Assessment of PIT-ness of existing models
Conversion of hybrid model output to PIT
PIT PD, LGD and EAD measures
Fully automated batch processing based solution
Scenario Based
Loss
Expected
Credit Loss
Significant Deterioration
Criteria from Client
Unconditional
Multi Period
PIT PD
PIT LGD
PIT EAD
Simulation #n
Simulation #1000
Simulation #2
Simulation #1
Probabilities and Scenarios
from Client or Regulator
Simulation
Bridge
ECL MODULE SCENARIO
FORECASTING
MODULE
Scenario #n
Scenario #2
Scenario #1
Conditional
Multi Period
PIT PD
PIT LGD
PIT EAD
Z-RiskEngine is a SAS® software based solution and is flexible to how
SAS® is implemented within an institution. Utilising client data and
existing credit and stress testing models, the solution provides full batch
processing capability to apply customised industry/region credit indices
and calculate credit losses.

5. Z-RiskEngine.com
WHY CREDIT CYCLES MATTER
BATCH PROCESSING
Understanding industry-region credit cycles are paramount to converting TTC credit models
into PIT ones before assessing ECLs – as can be seen in the graphic on the right – over the
last 30 years using various measures like Credit Edge™ EDFs, US Loan Charge-offs and
Moody’s Default rates – credit cycles are real and accurately assessing them is a key capability
of Z-RiskEngine that supports IFRS9/CECL and Stress Testing in a single solution suite.
500,000+
PIT PDs, LGDs, EADs
x10 years
500,000+
Stressed Losses
x10 years
500,000+
IFRS9/CECL Expected
Credit Loss x10 years
BATCH
PROCESSING
Client Model
Parameters
Macro Economic
Data
Client PD, LGD,
EAD Data
Market Implied
PDs
Using industry and regional credit cycles customised to each financial
institution’s own footprint and the batch processing capabilities of SAS®,
the solution provides the full ECL calculations for each facility, counterparty,
portfolio or any customised user defined segment in a few hours.

6. Z-RiskEngine.com
THE BUSINESS CASE:
A proven solution that can provide substantial benefits
Low Build and
Operational Cost
Solution batch automation leads
to low build and operational
costs at a time of large
regulatory changes
Accuracy
More accurate and dynamic
assessment of PIT risk (default
rate, losses and exposure)
customised to each institution’s
portfolio of customers
Compliance
Trusted approach approved by
UK regulators when AAA team
built Basel II suite of models
for two UK based global banks
ABOUT
Developers of world-leading Credit Analytic Solutions
Aguais And Associates (AAA) was founded in 2014 to bring Z-RiskEngine’s
world leading solution to market globally to support key regulatory initiatives
for IFRS9/CECL and Stress Testing. The team successfully achieved two
Basel II Waivers at large UK global investment banks and has pioneered dual
PIT-TTC framework, implementing the approach for the first time in 2005.
This PIT-TTC solution was officially approved in these two Basel II Waivers.
The AAA management team has over 60 years
combined experience developing, validating and
implementing advanced wholesale credit models.

7. Z-RiskEngine.com
Scalable
One common scenario-based
batch solution for any regional or
geographic footprint and across
regulator applications (Basel II/III,
IFRS9/CECL and Stress Testing)
but with customised models
Lower project
execution risk
End-to-end business model
where Deloitte provides
complementary services for
implementation, process design,
benchmarking and review
services, reducing project
execution risk
Integrated
One common solution covering
all types of corporate and
commercial credit models (PD,
LGD and EAD) and all types of
wholesale portfolio
CONTACT
To find out more about Z-RiskEngine please contact:
Dr. Scott D. Aguais:
+44 (0)7800 736587
SAguais@Z-RiskEngine.com
GauravChawla:
+44 (0)7833 322786
GChawla@Z-RiskEngine.com
Aguais And Associates Ltd
20-22 Wenlock Road
London N1 7GU, UK
info@Z-RiskEngine.com
Z-RiskEngine.com

8. 20-22 Wenlock Road
London N1 7GU, UK
info@Z-RiskEngine.com
Z-RiskEngine.com
BROUGHT TO YOU BY