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.

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

Recent presentations that highlight our current research across our areas of expertise.

View All

View our latest webinars on private firm credit risk, counterparty risk, regulatory requirements, portfolio management and loss given default.

View All
  • Chartis RiskTechnology100 2011 Award
    Ranked 5th in Overall Rankings
  • Fin Tech 100 2011 Award
    Ranked 44th in Overall Rankings
  • Asia Risk 2010 Award
    Voted #1 in Economic Capital Calculation and Management
  • Waters Rankings 2010 Award
    Voted "Best Credit Risk Solution Provider” for 2nd year in a row
  • Risk Technology Rankings 2010 Award
    Voted #1 in Basel II Compliance, Reg. Risk Capital Calculation and Reporting
  • AsiaRisk Tewchnology Rankings 2010 Award
    Voted #1 in Liquidity Management
  • Chartis RiskTechnology100 2010 Award
    Ranked 6th in Overall Rankings
  • Credit Technology Innovation 2009 Award
    Named a 2009 Credit Innovation Awards Winner for Integrated RMBS Analytics