Risk & Return Solution

The Risk & Return application calculates and aggregates portfolio and sub-portfolio risk and risk-adjusted returns. The management of a debt portfolio is similar to the management of an investment portfolio. The objective is to build and maintain an efficient portfolio.

The application has a built-in, drill-down query function. Through the set up process, numerous sub-portfolio queries can be written. Sub-portfolio risk and risk-adjusted return information includes: percent volume, volume, risk of the pass credits, risk of the total sub-portfolio, non-accrual rate, past due rate and loss rate, annual risk-adjusted return, annual income, economic risk-adjusted return, and economic income. The sub-portfolio information is archived and trended within the application.

Fixed and variable costs are allocated by loan type and size, along with probability of default and loss given default. The risk-adjusted return of every loan is calculated and aggregated at the customer level.

Customer reports can be created to identify undesirable relationships. Once identified, appropriate action can be taken to improve the overall portfolio return.

Numerous portfolio management reports and graphs can be created.