About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Moody’s Analytics Introduces Sovereign Correlations to RiskFrontier 3.0

Subscribe to our newsletter

Moody’s Analytics, a leader in enterprise risk management solutions, today announced the release of RiskFrontier 3.0, the latest version of its credit portfolio management and economic capital calculation solution. This release features a new sovereign risk correlation model that enables financial institutions to better quantify and manage the sovereign risk exposure in their portfolios.

The new sovereign correlation module, an extension of  GCorr, Moody’s Analytics’ industry-leading, global multi-factor asset correlation model, helps credit portfolio managers assess their sovereign risk by quantifying the correlation between sovereigns, as well as the correlation between sovereigns and other asset classes. The sovereign risk model captures sovereign risk for 89 sovereigns and territories, which accounts for 99.5% of sovereign debt issuance.

“The new model incorporates factors that explain regional sovereign credit deterioration, commonly observed with contagion events,” said Dr. Amnon Levy, Managing Director of Portfolio Research.

RiskFrontier 3.0 also includes a new model for capturing the risks associated with defaulted assets.  The model allows users to quantify recovery values that take into account portfolio correlation. This release also introduces new ways to assess and manage the portfolio, including the ability to analyze any subset of a given portfolio. Using this feature, clients can now quickly and easily perform “what-if” analysis by filtering a portfolio based on any combination of user-defined variables.

For users measuring portfolio performance against a benchmark, RiskFrontier 3.0 also introduces the ability to perform “what-if” analysis to assess the impact of a portfolio strategy under the current economic environment as well as against economically stressed scenarios.

The new release also improves the utility of DealAnalyzer, RiskFrontier’s deal analysis tool, by allowing for the analysis of new deals against stressed portfolios, merged portfolios and relative risk portfolios.

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: End-to-End Lineage for Financial Services: The Missing Link for Both Compliance and AI Readiness

The importance of complete robust end-to-end data lineage in financial services and capital markets cannot be overstated. Without the ability to trace and verify data across its lifecycle, many critical workflows – from trade reconciliation to risk management – cannot be executed effectively. At the top of the list is regulatory compliance. Regulators demand a...

BLOG

Data’s Evolution Continues From Cost to Core Asset: DMS New York City 2025 Preview

Modern Chief Data Officers are not only the guardians of financial institutions’ data estates, they are also the caretakers of their single-biggest asset. With every part of an organisation’s business now dependent on data, the custody of its digital information is every bit as critical to operations as the management of trading teams or even...

EVENT

TradingTech Summit New York

Our TradingTech Briefing in New York is aimed at senior-level decision makers in trading technology, electronic execution, trading architecture and offers a day packed with insight from practitioners and from innovative suppliers happy to share their experiences in dealing with the enterprise challenges facing our marketplace.

GUIDE

Institutional Digital Assets Handbook 2023

After initial hesitancy, interest in digital assets from institutional market participants has grown over the past three to four years. Early focus inevitably centred on the market opportunities presented by bitcoin and other cryptocurrencies. But this has evolved into a broad acceptance of a potentially meaningful role for digital assets in institutional markets. It’s now...