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January 2018

Moody's Analytics is pleased to announce the release of version 5.2 of the RiskFrontier™ software, which includes the GCorr™ 2017 Update.

The latest version includes the following enhancements:

GCorr™ 2017 Updates

The following correlation modules were updated: GCorr Corporate, Emerging Markets, U.S. Commercial Real Estate, U.S. Retail, Canada Retail, Macro, and Interest Rate Risk. In addition, GCorr 2017 was expanded to include a new module – Canada Commercial Real Estate. The new framework allows for the concentration and diversification effects of Canadian Commercial Real Estate exposures to be properly captured.

Credit Earnings Metrics Improvements

With RiskFrontier 5.2, clients can now input their own loss allowance estimations as of the analysis date, calculate credit earnings under different staging assumptions (IFRS 9, CECL, and 1 Year ECL), access new outputs, and view and export results at the portfolio and exposure level.

Composite Capital Measure Simplifications

The composite capital measure module allows users to integrate regulatory capital, while taking into account concentration effect, and diversification benefit of the assets in the portfolio. The method and outputs of composite capital measure are simplified, helping clients to make better decisions on how to allocate capital to different assets without losing view of regulatory constraint and economic consideration.

Additional Enhancements

  • Custom templates available for exposure results reports
  • Conditional Simulation inclusion of additional analysis types
  • DealAnalyzer™ calculation of mark-to-par spread output

For further details on these enhancements, please refer to the RiskFrontier™ 5.2 release notes.
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