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 organise, integrate and structure data for successful AI

25 September 2025 10:00am ET | 3:00pm London | 4:00pm CET Duration: 50 Minutes Artificial intelligence (AI) is increasingly being rolled out across financial institutions, being put to work in applications that are transforming everything from back-office data management to front-office trading platforms. The potential for AI to bring further cost-savings and operational gains are...

BLOG

Regulatory Volatility Offers Opportunity to Mine Value from Compliance Data

A new era of regulatory change is presenting institutions with a golden opportunity to prosper from the troves of data they need to comply with reporting obligations. Information required by market overseers has value that goes beyond its obligatory use in disclosures and companies that put it to wider use stand to gain a competitive...

EVENT

Buy AND Build: The Future of Capital Markets Technology

Buy AND Build: The Future of Capital Markets Technology London examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

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...