Hyperionsoft
Back to Models

PortfolioVision™ - Enterprise Risk Analytics Platform

Calculates portfolio-level risk metrics including VaR, Expected Loss, and stress test results.

The Challenge

CFOs and CROs need real-time visibility into portfolio risk across products, segments, and economic scenarios for capital planning and regulatory reporting.

What It Does

Calculates portfolio-level risk metrics including VaR, Expected Loss, stress test results, and concentration risks. Powers regulatory reporting and strategic capital allocation.

Model Metadata

  • Model Architecture: Monte Carlo simulation engine with Gaussian copula for default correlation
  • Training Data Size: Full loan portfolio + 20+ years of economic data
  • Simulation Runs: 10,000+ scenarios per analysis
  • Update Frequency: Daily risk metrics, quarterly model recalibration
  • Processing Time: 2-4 hours for full portfolio analysis
  • Output Metrics: VaR (95%, 99%), Expected Loss, tail risk, concentration metrics

Business Outcomes

  • Real-time portfolio risk dashboard for C-suite
  • Accurate capital allocation across business lines
  • CCAR/DFAST submission ready in 48 hours (vs. 2 weeks manual)
  • Optimized concentration risk management
  • Strategic planning informed by risk-adjusted returns
  • Board-ready risk reporting

Training Approach

Default Correlation ModelingGaussian copula fitted to historical default correlations across loan segments, geographies, and economic conditions. Captures how defaults cluster during downturns.
Scenario GenerationHistorical simulation using 20+ years of economic data plus synthetic worst-case scenarios for stress testing.
Loss DistributionCombines individual loan default probabilities (from CreditSight™), LGDs (from RecoveryIQ™), and correlation structure to generate full portfolio loss distribution.
Stress TestingImplements CCAR/DFAST scenarios (severely adverse, adverse, baseline) with macroeconomic variable mappings to loan performance.

Data Sources

Loan Portfolio Data
  • Complete loan-level data (balances, terms, rates, origination details)
  • Default probabilities from CreditSight™
  • LGD estimates from RecoveryIQ™
  • Segment classifications and concentrations
Economic Data
  • Federal Reserve FRED database (unemployment, GDP, rates)
  • S&P Case-Shiller housing indices
  • Regional economic indicators (MSA-level)
  • Industry-specific trends
  • Commodity prices (oil, metals) for certain industries
Market Data
  • Interest rate curves (Treasury, swap rates)
  • Credit spreads (corporate bonds, mortgages)
  • Equity market indices
  • Volatility measures (VIX)
Historical Performance
  • Internal historical loss data (20+ years ideal)
  • Peer bank charge-off rates
  • Recession performance data (2008, 2020)
  • Recovery value distributions
Regulatory Scenarios
  • Federal Reserve CCAR scenarios
  • Internal stress scenarios
  • Reverse stress tests (what breaks the bank)
Third-Party Data
  • Moody's Analytics (economic scenarios, PD/LGD benchmarks)
  • S&P Global (credit risk analytics)
  • Fitch Solutions (macroeconomic forecasts)

Regulatory Compliance

  • Basel III capital calculations (RWA, expected loss)
  • CECL reserve calculations
  • CCAR/DFAST stress testing
  • Concentration risk limits (Reg O compliance)
  • SR 11-7 model risk management