Modeling Structured Instruments in RiskFrontier™ Software
Utilizing Moody’s Analytics tranche simulations and their accurate measures of tranche risk, we have developed methodologies to represent structured instruments in the RiskFrontier software.
Utilizing Moody’s Analytics tranche simulations and their accurate measures of tranche risk, we have developed methodologies to represent structured instruments in the RiskFrontier software as a collateralized debt obligation (CDO) or a bond equivalent for the purpose of computing portfolio credit value at risk (VaR) and economic capital (EC).
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