QRM Predicts Credit Risk

Quantitative Risk Management here said that one of the nation's five largest banks has gone live with the company's new credit risk module for forecasting credit losses in commercial and consumer loan portfolios.

QRM said the unnamed bank's portfolio analysts now generate credit-loss forecasts in which economic variables such as the unemployment rate and gross domestic product can be simulated to determine how variances will affect both credit losses and net interest margin.

QRM said the result is a sophisticated and dynamic earnings forecast tool, providing bank balance sheet managers with the best possible understanding of the joint impact of credit losses and interest rate fluctuations.

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