CreditGauge® is a package software that measures the credit risk of credit portfolios . It utilizes the Monte Carlo method to analyze the distribution of loss in conjunction with a credit portfolio (i.e. the Credit VaR).
CreditGauge® was designated by the Regional Banks Association of Japan as a credit risk assessment tool in its project to enhance credit risk management, which started in December 2004 (i.e. the credit risk information total system abbreviated to CRITS) and is also used by all of its 64 member banks as well other regional banks and other financial institutions.
Changes in loss and frequency in multiple periods are shown in a three-dimensional chart.
