Quantitative Research

We trace our root to Moody’s KMV Research group, a pioneer in quantification of credit risk. We construct quantitative models that estimate default and recovery risk, price credit instruments, enable credit portfolio management, assess commercial real estate risk, and facilitate asset and liability management. Our objective is to create models that are accurate and forward-looking, yet practical, robust, and transparent.


Much of our research focuses on modeling default and loss. Our Expected Default Frequency™ (EDF™) credit risk measures are accurate and forward-looking probabilities of default for both public and private firms.

View All

We utilize a structural approach to valuing credit instruments and modeling credit spreads.

View All

We go beyond traditional credit risk modeling by taking an integrated approach to modeling all risk types, all asset classes, and their interactions.

View All

Our research in this area focuses on the active management of portfolios.

View All
The Insurance Research group focus on the application of quantitative models to support insurers meet the financial risk management challenges in their business. Areas of focus include regulatory and economic capital measurement, capital projection, asset liability management and liability valuation.
View All
  • Fintech 100 2015
    Fintech 100 2016
    Ranked 22nd in Overall Rankings
  • InsuranceRisk Awards
    InsuranceRisk Awards 2015
    Best Solvency II Software
    Best Economic Scenario Generation Software
  • Asia Risk Technology Rankings 2015
    AsiaRisk Technology Rankings 2015
    #1 in Regulatory & Economic Capital Calculation and Management
  • Chartis RiskTech100 2015 Award
    RiskTech 100 2016
    Voted 7th in Overall Rankings
    Enterprise Stress Testing Category Winner
  • Risk Technology Rankings
    Risk Technology Rankings 2015
    #1 Economic Risk Capital Calculation
    #1 Regulatory Risk Capital Calculation
    #1 Enterprise-Wide Credit Risk Management
  • Risk Technology Rankings 2011 Award
    Crystal Ball Award Pulsenomics