The massive analysis: how to assess the portfolio credit risk in a few minutes

Insights 27 November 2019

The massive analysis model

Lately in our articles we’ve often focused on the features of our Rating-as-a-Service solution, the platform that provides the risk models used by rating agencies to assess the counterparty’s creditworthiness and the exposure risk.

But there's one feature that hasn't been covered yet and certainly deserves to be explored. The massive analysis model.

This tool allows you to immediately assess the creditworthiness of a whole portfolio, up to 1000 companies simultaneously. As always, the procedure takes just a few seconds.

The massive analysis step

We have recently mentioned the massive analysis model in the article regarding oplon’s functionalities for factoring operations.

Here we have seen how this tool can be included in the creditworthiness analysis of a subject (the assignor, for instance) to calculate the credit score and the probability of default of a group of companies linked to it (the transferred portfolio). All you have to do is provide the VAT number of the companies to be analyzed.

The massive analysis model does not apply to the analysis of the transferred portfolio only.

The feature enables large-scale credit risk analyses in a few seconds and can be used, for example, to assess how the economic and financial health of the clients’ portfolio may affect the probability of default of a company.

In addition to this massive analysis model, oplon provides a more advanced one. Let’s see why and how it works.

The advanced massive analysis model

In the advanced massive analysis model you can specify the companies to be analyzed in two ways: either by entering the VAT numbers or by filling in an Excel file that can be downloaded from the platform.

In this case, you can enter additional data, such as the credit exposure (like the amount of the receivables), due date and recovery rate, which will allow you to proceed with the portfolio risk analysis, as we will see shortly.

But let’s start from the beginning.

Once you’ve entered the VAT numbers, oplon automatically creates an analysis for each company.

The analyses include the credit score (including the default probabilities) and the sector comparison. On request, you can add further modules that the platform will run automatically, such as the forecasting module, which performs budget simulation on different growth scenarios, or the cash flow analysis.

To sum up, unlike the basic model, which only provides the credit score, the advanced model automatically performs an in-depth analysis of the creditworthiness of each company indicated.

That's not all.

If we chose to compile the Excel file (the one we mentioned a few lines ago), we have enough data to start the portfolio risk analysis.

This feature estimates the amount and distribution of expected losses, the Value at Risk and the Loss Given Default, allowing you to obtain a risk-adjusted assessment of the portfolio, see which debtors contribute most to the VaR and get an estimation of the risk profile of the operation as accurate as possible.

To learn more about the topic or other features of oplon Risk Platform, you can download the brochure or request a free trial here. Or you can browse our blog, where you can find information about the new features of our Rating-as-a-Service solution.