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.

TOPICS

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.

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

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

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

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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.
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