Stress Testing Solutions

Our multidisciplinary teams of economists, quantitative analysts and management consultants help you understand, define and apply the scenarios that are relevant to your business.

Forecasts with Alternative Scenarios
Moody’s Analytics’ experienced team of economists develops detailed forecasts for 46 major countries worldwide and translates those conditions into alternative scenarios, which may be customized to your specific stress testing needs. This includes stress test scenarios aligned with the U.S. Fed Supervisory Baseline and Stress Scenario as well as the UK FSA’s Anchor Scenario to evaluate the impact a major economic shock would have on your business. Our offering helps clients meet regulatory requirements by using scenarios from an independent source, trusted by regulators.

Designed Business Scenarios
Moody’s Analytics offers global advisory services to help clients better understand and manage risk. Our experts can assist you develop business specific scenarios to better forecast and improve financial asset performance.

RiskFoundation: A comprehensive and integrated enterprise financial and risk datamart tool
You can only stress as much data you have access to. Integrate your financial and risk data to calculate stressed capital, liquidity ratios, and P&L

Default and Recovery Databases : Comprehensive Default and Recovery Data
Accurate probability of default estimates are essential to any stress testing process. Moody’s Analytics offers the largest default and loss data sets available in the market to help you to accurately estimate the likelihood of default, loss given default, and measure expected losses.
Economic, Consumer Credit and Financial Data
Moody’s Analytics can give you access to more than 190 million economic, financial and demographic time series covering more than 180 countries. Coverage includes detailed national and regional data, prices, labor, financial, trade and housing markets and more.

Market Implied Measures   
Global coverage of publicly traded firms and entities with CDS quotes ensures you can monitor and manage your portfolio with confidence. It includes EDF (Expected Default Frequency) measures, CDS-Implied EDF measures, Bond Spreads, CDS Spreads, Fair Value Bond and Fair Value CDS Spreads.

Financial Metrics  
Moody’s Financial Metrics is an unparalleled fundamental financial data platform for Moody’s rated corporates.

Stressed EDF Credit Risk Measures  
Stressed EDF measures are one-year default probabilities that indicate how various macroeconomic scenarios would affect credit quality at the firm level. In addition to their use in capital requirements and regulatory-driven stress testing, Stressed EDF measures are useful inputs into internal ratings models and scorecards for stress testing applications.

Bespoke Economic Stress Testing
Our forecasting models provide the foundation for portfolio stress testing—including gross shock and scenario analysis—and employ a consistent and realistic modelling approach across all asset classes.
 Off the shelf stress testing solution for retail portfolios: CreditCycle 
Moody’s CreditCycle Plus provides lenders with the ability to assess how policy decisions and external drivers will influence future performance of retail portfolios, measured against industry benchmarks.

Bespoke Correlation-Based Modelling 
Our advisory services experts assist clients with best in class methodologies and custom model development for portfolio stress testing, covering all major asset classes

Customized Services 
Moody’s Analytics offers customized and off-the-shelf models to help you calculate the stressed probability of defaults, cash flows and other useful risk and financial indicators.

Default rate predictor based on macroeconomic factors: Credit Transition Model
Moody's Analytics Credit Transition Model can predict the cyclical nature of default rates and rating transitions by incorporating underlying macroeconomic factors.

Off the shelf stress testing model for commercial mortgage portfolios
CMM (Commercial Mortgage Metrics) is the leading analytical model for assessing probability
of default (PD) and loss given default (LGD) for commercial real estate (CRE) loans. Using
CMM analytics, customers can perform stress testing and determine loss provisions on their
commercial mortgage portfolios.

Mortgage Portfolio Analyzer 
Stress test mortgage portfolios using in-house or external macro economic scenarios or default rate, prepayment rate and severity forecasts.

Moody’s Analytics provides you with an integrated stress testing framework to calculate stressed performance indicators across the risk and finance functions.

Scenario Analyzer
Scenario Analyzer helps banks measure the impact of changing market conditions at the enterprise level – across the entire balance sheet – or on single portfolios, such as commercial and industrial (C&I) and commercial real estate (CRE). These stress testing capabilities help banks comply with regulatory guidelines, including those outlined in Basel III, Solvency II and Dodd-Frank, for regulatory capital and liquidity. Beyond regulatory compliance, Scenario Analyzer allows firms to turn stress testing into a strategic planning tool, capable of consolidating risk data to better understand the impact of strategic decisions under different macroeconomic scenarios.

Calculating key stressed performance and risk management indicators:

RiskAuthority: Regulatory Capital, Liquidity, Reporting and Integrated Stress Testing Solution
Satisfy Basel III compliance globally and locally with an integrated regulatory capital, liquidity, reporting and stress testing solution.

RiskFrontier: Economic Capital
RiskFrontier calculates Economic Capital and allows for granular analysis of a portfolio’s risk drivers. RiskFrontier helps assess the sensitivity of your portfolios to stress or alternative scenarios.

RiskConfidence: Advanced Balance Sheet Management
Understand the impact of macroeconomic scenarios on the credit quality of your borrowers and market risk drivers, such as interest rates, exchange rates and volatility, as well as how each of these will impact balance sheet and income statement forecasts. Natively integrated with RiskConfidence.

Solvency II for insurers
RiskIntegrity provides an comprehensive framework for ORSA requirements. It offers multi-year financial projections, advanced modeling capabilities and a complete framework for stress and scenario testing.

A leading insurance firm
This Western insurance company selected a Moody’s Analytics custom solution by our Economic Analysis and Portfolio Management divisions to stress test their £2 billion credit portfolio. Our team of consultants enabled this client to build and run scenarios to assess portfolio risk. Our economic and portfolio management expertise and global coverage were key decision factors.

A large auto lender
This auto lender chose Moody’s CreditCycle because it is a comprehensive way of capturing all portfolio drivers, being external such as the economy or internal such as lending standards or dealer behavior. The lender was fully focused on getting accurate forecasts in order to optimize its dual mandate of facilitating auto sales while managing profitability for the group. The combination of regional economic expertise and a comprehensive modeling platform offered by Moody’s CreditCycle won over Management. Now, the client are using Moody’s CreditCycle to run its lending business, forecast loan performance, perform stress testing, and to set reserves for loss allowance.

A global credit card issuer
This credit card lender is using Moody’s CreditCycle to help identify how its credit card portfolio correlates with the underlying economic and credit environment—what the drivers of performance are, how they interact, how they differ by segment, geography and time, etc. Additionally, the lender is using Moody’s CreditCycle to forecast delinquency rates under various economic scenarios for what-if analysis and stress testing. They selected Moody’s Analytics because of the transparency of our methodology, modeling expertise, and access to our in-house team of economists and quants.

A global bank
This bank chose Moody’s Analytics Stress Testing for identifying sources of concentration in certain stress scenarios in order to determine credit portfolio management actions.  The solution was specifically developed for their global portfolio, with customized models and indicators to suit their overall strategy. The client selected Moody’s Analytics for our strong expertise in risk management and large and quality data to solve this complex problem. They also consider the discussions with our research and consultants one of the most important factors in choosing us.

Unique end-to-end solution:
The only partner in the market that can offer you a full spectrum of expert skills and capabilities for stress testing. We provide you with
a unique set of tools to help you implement the best stress testing practices in the market.

Flexible Architecture:
Our open software architecture allows you to use your own models along with in-house or third party software. This transparent and flexible framework makes our solutions easier, faster and cheaper to implement.

Expertise in risk management and credit risk:
We employ professionals with practical experience gained as former risk and finance practitioners, engineers and regulators. You can be confident that we understand your needs and take in to account practical implementations issues.

Best-in-breed quantitative modelling:
Take advantage of over 20 years of quantitative credit modelling expertise and leverage 100 years of Moody’s experience in evaluating risk to build a robust foundation for stress testing.

Award Winning Technology You Can Trust:
Moody’s Analytics is renowned for the robustness of our software suite. Risk Magazine readers have voted our regulatory compliance software the number one solution for the last four years.