Article

Risk Technology Awards 2019: Wholesale Credit Modelling Software of the Year

June 2019

Written by Risk.net

The Moody’s Analytics suite of wholesale credit scoring models and solutions cover the market from small businesses to large private and public companies, to commercial real estate and project finance. Applications include pre‑qualification, origination, counterparty risk assessment, benchmarking, limit setting, reserve allocation, risk‑based pricing, stress testing, capital planning and impairment calculations. Different departments are able to use the same models and solutions, supporting consistency and best practice across the organisation.

The flagship measure of Moody’s Analytics CreditEdge for credit risk for public entities and sovereigns is the expected default frequency (EDF), a forward‑looking probability of default (PD) measure from 0.01–50% and term structure from one to 10 years. Backed by a database of more than 11,700 defaults over 50 years, the measure combines financial statement and equity market information into a predictive measurement of standalone credit risk and is produced daily for upwards of 37,000 public firms.

Moody’s Analytics RiskCalc default and recovery analytics enable users to assess the credit risk of private firms, commercial banks, project finance projects and insurance companies. Powered by the world’s largest consortia of financial data, it combines financial statement and equity market information to produce EDF, loss given default and expected loss measures of standalone credit risk.

Moody’s Analytics Commercial Mortgage Metrics is a tool for assessing property as well as portfolio‑level default and recovery credit risk for both income‑ producing and under‑construction commercial real estate in the US, Canada and western Europe.

Moody’s Analytics RiskBench is a cloud‑based solution for analysing and benchmarking credit portfolios against peer datasets. It supports model validation processes, improves portfolio monitoring, evaluates market expansion opportunities and provides proxy loss estimates based on industry, region and size.

The Moody’s Analytics CAP solution is a cloud‑based end‑to‑end modelling platform for building, deploying and monitoring models using a customer’s own data and/or Moody’s Analytics data, models and its modelling experts for custom model development. The company builds its models using datasets from the Data Alliance consortia. It contains the largest and most comprehensive commercial and industrial, commercial real estate and project finance data pools. Recent developments to the suite of wholesale credit scoring models and solutions include an extension of the company’s Early Warning Toolkit framework – a research methodology to help clients identify at‑risk names in their portfolios. 

Judges said:

“Moody’s Analytics is a 900‑pound gorilla – hard to beat for credit tools and demonstrating year‑on‑year responsiveness to industry demands.”

“An impressively comprehensive offering and the benchmark that other competitors and in‑house developments measure against.”

“An extensive arsenal of modelling and data tools.”

Jacob Grotta, managing director, head of risk and finance analytics, Moody’s Analytics, says:

“Our wholesale credit modelling solutions help clients optimise their credit risk practices and achieve their business goals. Our RiskCalc credit scoring platform helps clients asses the credit risk of private firms, commercial banks, project finance projects and insurance companies. Meanwhile, CreditEdge provides a leading PD model and advanced analytics for managing the daily credit risk of more than 37,000 public firms and sovereigns. Our new CAP platform places Moody’s Analytics award‑winning credit data and modelling, validation, and monitoring frameworks in the hands of the market – allowing clients to strengthen the entire model lifecycle by combining their own experiences with our award‑winning tools.”

Related Solutions
Moody's Analytics | CECL

Moody’s Analytics provides tools for the most crucial aspects of the expected loss impairment model, with robust solutions to aggregate data, calculate expected credit losses, and derive and report provisions.