We help firms calculate economic capital, using a one-year value-at-risk (VaR) Monte Carlo approach. Our insights help quantify diversification benefits and concentration measures across portfolios and risk types to inform management, active asset allocation, and strategic business decisions.
Firms can maximize return on capital and address business needs associated with one-year VaR economic capital calculations and reporting. You can leverage a variety of simulation methods for scenario analysis, using correlation, econometric, macroeconomic, or your own proprietary models along with our sophisticated analytics. With our data, models, and research, you can estimate capital with confidence when evaluating distributions of losses, earnings-at-risk, and other components of profitability to determine total return.
Incorporate economic capital into decision-making
Our approach allows you to track the performance of individual business units or portfolios and ensure safety for bondholders by using economic capital measures.
Leverage economic capital to consistently measure credit risk in the portfolio
Firms can increase transparency in portfolio risk estimation, model risk profiles of complex instruments, incorporate region-specific correlation structures, and perform comprehensive stress testing.
Moody's Analytics provides baseline economic forecasts and alternative scenarios for 100+ countries and aggregates, updated monthly.
GCorr Macro EL Calculator addresses regulatory requirements for stress testing and assists in strategic portfolio credit risk management.
Moody's Analytics is a trusted, leading provider of economic data & forecasts for the global economy. Learn how you can improve your economic outlook.
RiskFrontier software is an industry-leading credit portfolio risk management solution, trusted by financial institutions globally to improve business performance.
The PortfolioStudio tool is part of Moody’s Analytics cloud-native, integrated Risk and Finance platform.