Moody's Analytics offers market participants structured credit models for analyzing the credit risk of their ABS, RMBS, and auto portfolios.
Our structured credit models enable you to assess the credit quality of your underlying collateral and view its impact on bonds in your portfolio. The models will also help you understand the economic trends driving your portfolio performance metrics.
Get easy access to Moody's Analytics structured credit models
Our structured credit models can be accessed through the web, desktop solutions, or through our application programming interface (API).
Integrate your structured credit models and analytics
Moody's Analytics structured credit models utilize integrated macroeconomic scenarios that are produced by our Chief Economist, Mark Zandi, and updated monthly. Factors, including GDP, unemployment, interest rates, and home price indexes (HPI) are forecast for each scenario. These economic forecasts drive our asset-specific credit model predictions for probability of default, loss given default, prepayment, and other risk measures. Users also have the option to build or import custom modeling assumptions.
Our credit models produce a distribution of expected losses for residential mortgage backed securities (RMBS) and utilize Monte Carlo simulation engines for thousands of macroeconomic scenarios.
Managing Director, Consumer Credit Analytics
Shirish is experienced in numerical and high-performance computing and computational finance. He has worked on Monte Carlo methods, numerical optimization, and parallel computing. At Moody’s Analytics, he works in the economic and structured analytics group on the Portfolio Analyzer platform for analyzing residential mortgages, auto loans, and asset-backed securities.
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