New York, New York -- ERisk, the leading provider of integrated software and consulting solutions that enable financial institutions to enhance their performance through better risk and capital management, recently announced the availability of a next generation credit portfolio risk model. The model, developed by ERisk, is specifically designed to overcome the deficiencies of other commercial models such as correlating recovery rate and exposure volatility to systematic default rates, revaluation risk for credits maturing beyond the measurement period, and complex hedging instruments. The model is fully integrated with ERisk's solutions for risk and credit capital management, including the Abacus Economic Capital system, making it immediately available to ERisk's expanding global client base.

While credit products, market segments and risk transfer strategies continue to grow more complex, existing credit portfolio models have failed to keep pace. Demand has grown among risk management professionals for a new generation of risk models that provides a robust and flexible approach to evaluating the credit risk of banking portfolios. In response, ERisk has developed the ConvergentCredit model -- the first practical methodology capable of addressing the complete mix of risks and products found in today's credit portfolios, while delivering results without laborious computations and supporting the routine sensitivity and scenario analyses that risk managers require.

"Existing credit portfolio risk models suffer from coverage gaps for typical bank portfolios. Our new model is flexible enough to accommodate a range of different types of credit portfolios," says Andrew Hickman, architect of the new model and Managing Director and Head of Research and Development at ERisk. Continues Hickman, "We feel we've taken a significant leap in overcoming burdensome obstacles associated with data limitations, model validation, speed and ease of use." 

ERisk's ConvergentCredit model is particularly important to banks in light of emerging bank regulation that encourages them to take advantage of more sophisticated credit portfolio risk management techniques. To address this need, the model presents an extremely flexible, open architecture that can be adapted readily as new risks, portfolios, and hedging techniques develop in the future. The model provides powerful extensions to accommodate additional risk drivers and instrument classes.  The result is a state-of-the-art model that is scalable for institutions of all sizes and complexities.

Interested parties can learn more about ERisk's ConvergentCredit portfolio risk model and other ERisk software and consulting offerings by contacting the ERisk sales organization at 212-819-0170.

About ERisk

ERisk is the leading provider of integrated software and consulting solutions that enable financial organizations to enhance their performance through better risk and capital management. Our mission is to help senior executives to transform their risk management processes to increase management effectiveness, reduce losses and increase shareholder value. Please visit ERisk's website and risk management resource center at www.erisk.com.

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Press Contact:

Tony Marcos

Director of Marketing

ERisk

(917) 522-1619

tmarcos@erisk.com

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