Portfolio Optimization | Moody's Analytics

Our models, research, software, and credit risk expertise help firms improve portfolio performance and meet Basel requirements. We quantify diversification benefits across portfolios, and define risk types that inform risk management and active asset allocation decisions.

Leverage our industry-leading models, software, and exceptional services to effectively measure, monitor, and manage credit risk within your portfolios.

Our solutions enable you to rapidly measure and benchmark portfolio-level credit risk and return across your entire organization. With our correlation, economic, and credit risk models and analytics, you can compare portfolio risks and identify specific actions to improve portfolio performance. You can also model and assess the impact of credit risk factors, such as pricing models, risk concentrations, correlations, hedging, and stress tests across the trading and banking book.

Our scenario analysis tools allow you to stress test a portfolio and perform what-if analyses across all asset classes. You can use different inputs and model assumptions to determine losses and assess capital adequacy under changing economic conditions. With robust reporting, you can easily articulate portfolio management strategies to a variety of stakeholders.

Analyze the impact of economic events on the credit risk of the portfolio

With ongoing pressures to comply with regulatory stress testing guidelines, institutions are challenged to stay ahead of strategic business objectives, including setting and refining limits, defining contingency plans, and planning for liquidity. Our solutions help institutions create a stress testing program to support such objectives. You can perform scenario and what-if analyses using a bottom-up approach to measure the impact of adverse events on obligors, or sets of obligors, with significant exposures in the credit portfolio. Our models, data, software, and expert judgement can be an aid to an institution's top down process, providing transparency when communicating to management.

Improve portfolio structure and address concentrations while generating revenue

Continued emphasis on revenue generation and meeting business objectives brings ongoing pressures for growth, specifically in ways that meet desired return thresholds. Our solutions can help improve revenue growth, balance revenue versus return against evolving capital measures, and manage exposure strategies among lines of business. We assist in setting limits that address concentration and correlations within your portfolio while taking into account your business and credit strategies, credit appetite, and existing level of portfolio diversification. We can support you in defining credit risk strategies aligned with portfolio profitability and pricing objectives.

Featured Experts

Blake Coules

Across 35 years in banking, Blake has gained deep insights into the inner working of this sector. Over the last two decades, Blake has been an Operating Committee member, leading teams and executing strategies in Credit and Enterprise Risk as well as Line of Business. His focus over this time has been primarily Commercial/Corporate with particular emphasis on CRE. Blake has spent most of his career with large and mid-size banks. Blake joined Moody’s Analytics in 2021 after leading the transformation of the credit approval and reporting process at a $25 billion bank.

Chris Stanley

Across 15 years as a consultant and practitioner, Chris worked on a range of strategy, risk management and operational transformation initiatives with leading financial institutions throughout North America. From this collection of abstract, “what now?” challenges, he has developed specialties in credit optimization, business combinations and system implementations. Chris joined Moody’s in 2020 after leading CECL implementation and dual risk rating expansion at a $50 billion bank.