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

Upcoming Webinar: How to simplify and modernize data architecture to unleash data value and innovation

15 May 2025 10:00am ET | 3:00pm London | 4:00pm CET Duration: 50 Minutes The data needs of financial institutions are growing at pace as new formats and greater volumes of information are integrated into their systems. With this has come greater complexity in managing and governing that data, amplifying pain points along data pipelines....

BLOG

Scalability the Keyword Behind S&P Global’s Enriched iLEVEL

S&P Global Market Intelligence’s update to its iLEVEL private markets data tool has been designed to enable firms to scale their engagements in private markets. The financial data company is betting that financial institutions’ growing engagement in these markets is such that they will need the sort of data provisions associated with public markets. S&P...

EVENT

Data Management Summit London

Now in its 16th year, the Data Management Summit (DMS) in London brings together the European capital markets enterprise data management community, to explore how data strategy is evolving to drive business outcomes and speed to market in changing times.

GUIDE

AI in Capital Markets: Practical Insight for a Transforming Industry – Free Handbook

AI is no longer on the horizon – it’s embedded in the infrastructure of modern capital markets. But separating real impact from inflated promises requires a grounded, practical understanding. The AI in Capital Markets Handbook 2025 provides exactly that. Designed for data-driven professionals across the trade life-cycle, compliance, infrastructure, and strategy, this handbook goes beyond...