Welcome!

News Feed Item

Moody’s Analytics Adds Stress Testing and Interest Rate Risk Models to RiskFrontier™ Software

Moody’s Analytics, a leader in risk measurement and management, today announced the release of the RiskFrontier™ 4.0 software, the latest version of its award-winning portfolio management and economic capital solution for banks, insurance companies, asset management firms, and corporations. The software includes two significant modeling innovations: the GCorr Macro Model, an expanded correlation model which enables clients to perform portfolio level stress testing; and, the ability to model the behavior of an exposure’s future cash flow using both credit and interest rate risk.

The GCorr Macro model supports single-period, simulation-based stress testing and reverse stress testing, as well as multi-period stress testing, as required by the Federal Reserve’s Comprehensive Capital Analysis and Review (CCAR). The first approach utilizes simulation output from Moody’s Analytics RiskFrontier software, taking into account portfolio effects such as concentration, diversification and credit migration. This enables clients to apply stress scenarios to their entire portfolios, measuring resulting losses and the portfolio’s sensitivity to each scenario.

For example, using a 35 billion sample corporate portfolio and 2013 CCAR variables, a simulation-based stress test shows that 54% of the portfolio loss is due to CCAR variables, while the remaining 46% of portfolio loss is due to other factors, such as industry or regional effects.

“GCorr Macro allows clients to see the effect macroeconomic scenarios have on an entire portfolio that might span commercial and industrial, small-medium enterprises, commercial real estate and retail loans,” said Dr. Amnon Levy, Head of Portfolio Research at Moody’s Analytics. “Clients can use the model to determine which variables have the greatest impact on a portfolio, or to determine which sectors are the most sensitive to specific variables. It also allows users to leverage their existing infrastructure, so implementation is relatively straightforward.”

Moody’s Analytics also implemented a bottom-up approach in the RiskFrontier 4.0 software to evaluate the losses accounting for both credit and interest rate risk at the instrument level. While historically these two risks have been evaluated in isolation, Moody’s Analytics built a framework which allows clients to model their interactions in a consistent way. For example, during simulations, an option on a fixed rate callable bond is optimally exercised based on the interest rate environment and the credit quality of the issuer.

“Financial institutions have long been struggling to integrate credit and interest rate risk, often having no choice but to account for these risks in silos and then combine them using crude approaches,” said Chris Shayne, Head of Portfolio & Valuation Products, Moody’s Analytics. “Moody’s Analytics integrated credit and interest rate risk model is the first of its kind that natively integrates the two sources of risk, improving the accuracy of results.”

The RiskFrontier 4.0 software will help financial institutions to measure the impact of rising interest rates, which are broadly forecasted by economists to increase throughout 2014, putting negative pressure on fixed-rate bond portfolios. Users can also measure the effect of growing volatility on call options and forecast economic losses resulting from changes in credit quality.

Financial institutions globally use the RiskFrontier software for credit portfolio management, valuation, capital optimization, risk based pricing, performance management and stress testing. It provides a granular analysis of a portfolio’s risk drivers through advanced analytics and modeling methodologies.

For more information, please visit http://www.moodysanalytics.com/riskfrontier2014.

About Moody’s Analytics

Moody’s Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services and research, including proprietary analyses from Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE:MCO), which reported revenue of $2.7 billion in 2012, employs approximately 8,300 people worldwide and has a presence in 31 countries. Further information is available at www.moodysanalytics.com.

More Stories By Business Wire

Copyright © 2009 Business Wire. All rights reserved. Republication or redistribution of Business Wire content is expressly prohibited without the prior written consent of Business Wire. Business Wire shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

Latest Stories
What happens when the different parts of a vehicle become smarter than the vehicle itself? As we move toward the era of smart everything, hundreds of entities in a vehicle that communicate with each other, the vehicle and external systems create a need for identity orchestration so that all entities work as a conglomerate. Much like an orchestra without a conductor, without the ability to secure, control, and connect the link between a vehicle’s head unit, devices, and systems and to manage the ...
"We're a cybersecurity firm that specializes in engineering security solutions both at the software and hardware level. Security cannot be an after-the-fact afterthought, which is what it's become," stated Richard Blech, Chief Executive Officer at Secure Channels, in this SYS-CON.tv interview at @ThingsExpo, held November 1-3, 2016, at the Santa Clara Convention Center in Santa Clara, CA.
Application transformation and DevOps practices are two sides of the same coin. Enterprises that want to capture value faster, need to deliver value faster – time value of money principle. To do that enterprises need to build cloud-native apps as microservices by empowering teams to build, ship, and run in production. In his session at @DevOpsSummit at 19th Cloud Expo, Neil Gehani, senior product manager at HPE, discussed what every business should plan for how to structure their teams to delive...
Rapid innovation, changing business landscapes, and new IT demands force businesses to make changes quickly. In the eyes of many, containers are at the brink of becoming a pervasive technology in enterprise IT to accelerate application delivery. In this presentation, attendees learned about the: The transformation of IT to a DevOps, microservices, and container-based architecture What are containers and how DevOps practices can operate in a container-based environment A demonstration of how ...
"Venafi has a platform that allows you to manage, centralize and automate the complete life cycle of keys and certificates within the organization," explained Gina Osmond, Sr. Field Marketing Manager at Venafi, in this SYS-CON.tv interview at DevOps at 19th Cloud Expo, held November 1-3, 2016, at the Santa Clara Convention Center in Santa Clara, CA.
"Qosmos has launched L7Viewer, a network traffic analysis tool, so it analyzes all the traffic between the virtual machine and the data center and the virtual machine and the external world," stated Sebastien Synold, Product Line Manager at Qosmos, in this SYS-CON.tv interview at 19th Cloud Expo, held November 1-3, 2016, at the Santa Clara Convention Center in Santa Clara, CA.
In addition to all the benefits, IoT is also bringing new kind of customer experience challenges - cars that unlock themselves, thermostats turning houses into saunas and baby video monitors broadcasting over the internet. This list can only increase because while IoT services should be intuitive and simple to use, the delivery ecosystem is a myriad of potential problems as IoT explodes complexity. So finding a performance issue is like finding the proverbial needle in the haystack.
In his keynote at 18th Cloud Expo, Andrew Keys, Co-Founder of ConsenSys Enterprise, provided an overview of the evolution of the Internet and the Database and the future of their combination – the Blockchain. Andrew Keys is Co-Founder of ConsenSys Enterprise. He comes to ConsenSys Enterprise with capital markets, technology and entrepreneurial experience. Previously, he worked for UBS investment bank in equities analysis. Later, he was responsible for the creation and distribution of life sett...
The WebRTC Summit New York, to be held June 6-8, 2017, at the Javits Center in New York City, NY, announces that its Call for Papers is now open. Topics include all aspects of improving IT delivery by eliminating waste through automated business models leveraging cloud technologies. WebRTC Summit is co-located with 20th International Cloud Expo and @ThingsExpo. WebRTC is the future of browser-to-browser communications, and continues to make inroads into the traditional, difficult, plug-in web ...
Redis is not only the fastest database, but it has become the most popular among the new wave of applications running in containers. Redis speeds up just about every data interaction between your users or operational systems. In his session at 18th Cloud Expo, Dave Nielsen, Developer Relations at Redis Labs, shared the functions and data structures used to solve everyday use cases that are driving Redis' popularity.
20th Cloud Expo, taking place June 6-8, 2017, at the Javits Center in New York City, NY, will feature technical sessions from a rock star conference faculty and the leading industry players in the world. Cloud computing is now being embraced by a majority of enterprises of all sizes. Yesterday's debate about public vs. private has transformed into the reality of hybrid cloud: a recent survey shows that 74% of enterprises have a hybrid cloud strategy.
Internet-of-Things discussions can end up either going down the consumer gadget rabbit hole or focused on the sort of data logging that industrial manufacturers have been doing forever. However, in fact, companies today are already using IoT data both to optimize their operational technology and to improve the experience of customer interactions in novel ways. In his session at @ThingsExpo, Gordon Haff, Red Hat Technology Evangelist, will share examples from a wide range of industries – includin...
WebRTC is the future of browser-to-browser communications, and continues to make inroads into the traditional, difficult, plug-in web communications world. The 6th WebRTC Summit continues our tradition of delivering the latest and greatest presentations within the world of WebRTC. Topics include voice calling, video chat, P2P file sharing, and use cases that have already leveraged the power and convenience of WebRTC.
Without lifecycle traceability and visibility across the tool chain, stakeholders from Planning-to-Ops have limited insight and answers to who, what, when, why and how across the DevOps lifecycle. This impacts the ability to deliver high quality software at the needed velocity to drive positive business outcomes. In his general session at @DevOpsSummit at 19th Cloud Expo, Phil Hombledal, Solution Architect at CollabNet, discussed how customers are able to achieve a level of transparency that e...
"We build IoT infrastructure products - when you have to integrate different devices, different systems and cloud you have to build an application to do that but we eliminate the need to build an application. Our products can integrate any device, any system, any cloud regardless of protocol," explained Peter Jung, Chief Product Officer at Pulzze Systems, in this SYS-CON.tv interview at @ThingsExpo, held November 1-3, 2016, at the Santa Clara Convention Center in Santa Clara, CA.