Eight deterministic, browser-based tools covering the full counterparty credit lifecycle — from internal rating and PD/LGD/EAD modelling through SA-CCR CVA, RWA computation, covenant monitoring, stress testing, and RAROC-based loan pricing. IFRS 9 and CECL aligned. Zero PII.
Follow this six-stage path from initial counterparty rating through economic stress testing to a fully-priced, IFRS 9-compliant credit assessment.
Follow the six-stage workflow above or jump directly to any tool. All tools run in your browser — no account, no data transmission.
Input financial ratios to generate an internal credit rating mapped to S&P/Moody's/Fitch equivalent (AAA–D). Configurable weighting by industry sector and counterparty type (corporate, bank, sovereign, SME). Outputs rating rationale narrative, ratio-by-ratio scorecard, Markdown credit assessment memo, and Policy Mandate JSON credit profile.
Calculate PD, LGD, and EAD with methodology choices: through-the-cycle vs. point-in-time PD; haircut-based vs. market LGD; drawn vs. undrawn EAD. IFRS 9 / CECL alignment: 12-month vs. lifetime ECL staging triggers. Outputs parameter set, ECL calculation, Markdown IFRS 9/CECL memo, and Policy Mandate JSON risk parameters.
Open ToolInput covenant terms and current financial metrics — check compliance and calculate headroom to breach. Covers leverage (Net Debt/EBITDA), interest cover, liquidity covenants, maintenance vs. incurrence types. Stress-test headroom under revenue/margin shock scenarios. Outputs compliance status table, breach distance, Markdown memo, and Policy Mandate JSON covenant record.
Open ToolSA-CCR (Basel III) CVA engine. Inputs: trade type, notional, maturity, mark-to-market, collateral, netting agreement. Calculates RC, PFE, EAD, and CVA capital charge. Outputs detailed CVA breakdown and Markdown CVA memo.
Open ToolCalculate RWA under the Standardised Approach (Basel III/CRR3). Applies CRR3/Basel IV risk weight table by exposure class and external rating. Outputs risk weight, RWA, capital requirement (8% × RWA), Markdown capital memo, and Policy Mandate JSON capital assessment.
Apply macro stress scenarios — GDP shock, rate move, sector downturn, FX shock — to counterparty credit metrics. Outputs stress scenario comparison table, credit metric migration, Markdown stress memo, and Policy Mandate JSON stress scenario record.
Open ToolModel risk-adjusted return on capital. Inputs: loan amount, margin, fees, cost of funds, expected loss (from T198), capital allocation (from T201), operating cost. Outputs RAROC, economic profit/loss, hurdle rate comparison, minimum margin for target RAROC, Markdown pricing memo, and Policy Mandate JSON loan pricing record.
Open ToolGenerate cohort transition matrices across credit rating bands using embedded benchmark matrices by asset class or synthetic cohort data. Calculate Stage 1→2→3 migration probabilities, lifetime PD curves, and macro overlay. Outputs transition matrix, ECL stage allocation, Markdown IFRS 9 disclosure memo, and Policy Mandate JSON ECL model parameters.
Open ToolLast reviewed: May 2026 · 8 tools · Cat-17 · Counterparty Credit Risk
Rating, ECL & covenant monitoring. Run T197 to produce an internal credit rating, T198 for IFRS 9 PD/LGD/EAD parameters, and T199 to monitor covenant headroom before credit committee presentation.
CVA, RWA & stress testing. Use T200 for SA-CCR CVA capital on derivatives portfolios, T201 for standardised RWA under CRR3, and T202 for macro stress scenarios for ICAAP and regulatory reporting.
RAROC pricing & ECL migration. Combine T203 RAROC Loan Pricing with T201 capital allocation and T198 expected loss inputs to price deals above the hurdle rate. Use T204 for IFRS 9 migration matrix disclosure.
Intraday risk, capital allocation & regulatory capital. Use T201 for standardised approach capital requirements and T202 to model macro scenarios affecting the counterparty portfolio.
Tools in this hub are mapped to obligations under the following frameworks. Verify current applicability with qualified legal counsel.
SA-CCR for counterparty credit exposure, Standardised Approach RWA, CVA capital charge, output floor under Basel IV / CRR3. Tools T200, T201.
Expected Credit Loss (ECL) staging, 12-month vs. lifetime PD, transition matrix, macro overlay, and Stage 1/2/3 migration probabilities. Tools T198, T204.
Current Expected Credit Loss — lifetime ECL from origination, point-in-time PD, forward-looking macro adjustments. US bank alignment. Tool T198.
Maintenance vs. incurrence covenant definitions, EBITDA leverage, interest cover, liquidity tests, cross-default triggers per LMA and ISDA standard documentation. Tool T199.
Open T197 — Credit Risk Rating Calculator, input the counterparty's key financial ratios, select industry sector and counterparty type. Export the Policy Mandate JSON credit profile as your audit trail.
Feed your rating output into T198 — PD/LGD/EAD Modeller to calculate IFRS 9 or CECL parameters, determine the ECL staging, and export the risk parameters as Policy Mandate JSON.
Use T201 — Basel III/IV RWA Calculator for the standardised approach capital requirement, and T200 — CVA Calculator for any derivatives exposures under SA-CCR.
Input the T198 expected loss and T201 capital allocation into T203 — RAROC Loan Pricing Model. Then run T202 — Credit Stress Testing Workbench to validate the pricing holds under macro scenarios.
All 8 tools expose structured outputs compatible with the AINumbers MCP manifest. Use the tool IDs below with any MCP-capable agent.
| Tool ID | MCP Name | Input Schema | Output |
|---|---|---|---|
| T197 | calculate_credit_risk_rating | financial_ratios{}, sector, counterparty_type | rating, scorecard[], narrative, policy_mandate_json |
| T198 | model_pd_lgd_ead | rating, methodology, ecl_staging | pd, lgd, ead, ecl_amount, stage, policy_mandate_json |
| T199 | check_covenant_compliance | covenant_terms{}, current_financials{} | compliance_status[], headroom{}, breach_distance, policy_mandate_json |
| T200 | calculate_cva_sa_ccr | trade_type, notional, maturity, mtm, collateral | rc, pfe, ead, cva_charge, markdown_memo |
| T201 | calculate_basel_rwa | exposure_class, external_rating, exposure_amount | risk_weight, rwa, capital_req, policy_mandate_json |
| T202 | run_credit_stress_test | base_metrics{}, scenarios[] | stress_comparison[], migration_table, policy_mandate_json |
| T203 | model_raroc_loan_pricing | loan_amount, margin, expected_loss, capital_allocation | raroc, economic_profit, min_margin, policy_mandate_json |
| T204 | generate_credit_migration_matrix | asset_class, cohort_data{}, macro_overlay | transition_matrix[], lifetime_pd[], ecl_stage_alloc, policy_mandate_json |