creditNet, a new computational framework for credit portfolio management

creditNet is a new computational framework for credit portfolio management

Credit Portfolio Management (CPM) denotes a set of principles, tools, processes that underpin the management of Credit Portfolios (interlinked collections of credit assets). The defining characteristic of credit portfolio management activities is that Credit Risk is assessed and managed not on a standalone but in a portfolio setting. As the nature and practices of credit intermediation keep evolving so is the need for flexible, intuitive and transparent tools that can help support best practice portfolio management

creditNet aims to bridge a gap in the availability of open source tools for the analysis of credit portfolios. It is built from scratch to meet the needs of both existing credit intermediaries such as banks, but also capital markets channels (securitisation) and peer-to-peer networks. It offers a detailed analysis of the possible development of a credit system, taking into account the macro-economic enviroment but also local and idiosyncratic dependencies and risks.

What is it good for?

creditNet is a flexible open architecture and it aims to cover the full range of requirements for credit portfolio management. Indicative examples and use cases:

  • Open source modelling of securitisations, see also this analysis of European Safe Bonds
  • IFRS 9 / CECL analyses of provision volatility. creditNet is particularly suitable for calculating future ECL metric conditional on macro / portfolio developments up to that time point
  • As a computational back-end to the OpenCPM platform, supporting the whole range of CPM mandates:
    • Portfolio Information
    • Concentation Risk
    • Supporting Origination
    • Manage Risk Appetite
    • Stress Testing and Risk Capital

How can you try it?

Using creditNet requires a working docker setup. The docker webpage has instructions on how to setup your environment depending on whether you have a windows, mac or linux operating system

Once you have tested your docker installation (hello world!) the following steps will setup you up for creditNet usage:

Fetch and run a creditNet image

For this you simply need to issue the following instruction:

docker run -p 888:80 openrisk/creditnet:version0.4.1

This will download the creditNet image and run a local server that you can access at port 888

Send a hello world calculation request to creditNet

To achieve this you need to head to our github repository and fetch a workflow file (workflow.json), the issue the following

curl -k -X POST -d @workflow.json http://localhost:888/cgi-bin/creditNet

This will hopefully return you a response from the server with the timestamp of our request. You are all set! As we release further functionality you’ll be able to test the server and learn of its capabilities

What next?

creditNet in active development along with our other open source tools and the OpenCPM platform. The following resources are available to help you get to know creditNet and the possibilities it opens up