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.
Yukyung is a member of the research team within the Credit Risk Analytics Group at Moody’s Analytics. She focuses on research projects related to fixed income and equity strategies for buy side and other clients. She contributed to developing the CreditEdge Alpha Factor and the firstEDF-based ETF launched by Ossiam. Her expertise is also utilized on other CreditEdge customized projects pertaining to asset managers. In addition, Yukyung is a co-author of various practical research papers. One of her papers was published in the Journal of Fixed Income. Before joining Moody's, Yukyung was at Lehman Brothers as a fixed income strategist in the asset allocation group.
Juan M. Licari, PhD, is Chief International Economist with Moody's Analytics. As the Head of Economic and Credit Research in EMEA, APAC and Latin America, Juan and his team specialize in generating alternative macroeconomic forecasts and building econometric tools to model credit risk portfolios.
Moody’s Analytics Capital Risk Analyzer solution is a tool that projects key capital ratios and credit metrics based on various strategic & economic scenarios for capital planning and stress testing (DFAST, EBA).
Moody's CreditCycle solution provides econometric consumer credit loss forecasting, benchmarking, and stress testing models.
GCorr Macro EL Calculator addresses regulatory requirements for stress testing and assists in strategic portfolio credit risk management.
Leverage economic, demographic, and financial data, forecasts, and scenarios for the global economy.
The ImpairmentCalc software provides expected loss impairment calculations, incorporating data and scenario analysis for forward-looking evaluation under IFRS 9 and CECL guidance.
RiskFrontier software is an industry-leading credit portfolio risk management solution, trusted by financial institutions globally to improve business performance.