LLC «RISKFIN» has released another update of software «RISKFIN. Financial Analysis and Risk Management» (PC «RISKFIN. FAUR»). Main changes relate to the methodology of the analysis of credit risk of the counterparty banks and operational risk, the expansion of software functionality and improvement of the usability of the program.
«RISKFIN» specialists conducted regular testing and validation of methods of analysis of the financial condition of commercial banks. Financial statements of more than 900 Russian banks have served as the material for that, the ones that agreed to place their financial statements for the last five years (2010-2015) to the Bank of Russia website. On the basis of the statistical research it was found that following techniques «Cluster analysis (CALIPSO)», «CAMEL 254-P», «The cluster analysis (CALIPSO) 254-P» and «Internal credit rating CAMEL», under the changed macroeconomic environment and supervisory control do not reach the required threshold of quality assessed on the basis of analysis of ROC curve (Receiver Operation Characteristic). Necessary procedures were made to improve the quality of techniques for the identification of new significant parameters of the models used and an assessment of their value. New methods were created as a result of this research work «Express-analysis (RF)», «Express-analysis (RF) 254-P», «CAMEL 254-P 01/07/15» and «Domestic credit rating CAMEL 01/07/15» to replace the ones that lost their effectiveness.
Validation of the newly created techniques confirmed the level of quality sufficient for practical use. Not only that but also new methods were created which are based on the other defining events of default, namely the shutdown of the system of a credit institution banking electronic payments (BESP) and / or revocation of the banking license.
Methodology «Risk Filtr.Bank (RF)» allows to estimate the probability of license revocation and / or disconnect from the BESP system in the short term, methodology «CAMEL-Filter (RF)» - over the next year. Validation of both techniques showed excellent predictive and discriminating faculty.
Following changes of functionality were made as part of the modification of the software:
New form were added;
Upgraded the functionality of manual data entry on Excel template and data import into forms;
Ability of textual interpretation of the calculated values of the indicators in the results of analytical tables and calculations in the report is added;
Functional setting of point-weighting method of «Analysis of operational risk» module is expanded;
Functional setting of generating reports «Risk map» and «Ranking» of «Analysis of operational risk» module is expanded;
To see a complete list of changes and to download the update of PC «RISKFIN. Faure» please go to Updates section of «RISKFIN» website.
