More NewsNew S&P Tool to Support Basel Default Modelling by Banks

New S&P Tool to Support Basel Default Modelling by Banks

Standard & Poor’s Risk Solutions has introduced its Default Filter software – a model development solution with ongoing data management, validation and stress testing tools – into the North American market. Standard & Poor’s purchased Default Filter credit risk management software assets from IQ Financial Systems in August 2002. ‘Originally developed in Asia to cover credit markets where data are often scarce, Default Filter will be an important tool for North America as well, where the same issues surround data availability in middle market lending,’ said Roy Taub, Executive Managing Director of Standard & Poor’s Risk Solutions. Default Filter aims to helps banks address Basel Committee requirements for forward-looking modelling of credit risk by providing tools that allow clients to test the ability of their models to classify risks, continually test the comparability of their current data set to their reference historical databases, and continuously test the predictive power and stability of their model over time.

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