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Portfolio Credit Risk Measurement |
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RiskFrontier |
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Learn More |
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Why Use RiskFrontier™
Moody's KMV RiskFrontier™ and its predecessor, Portfolio Manager™, are the industry standard for Economic Capital models and are used by the majority of leading banks. Moody'KMV (MKMV) has ensured that Risk Frontier achieves this status by investing in unparalleled research and development.
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Download RiskFrontier Fact Sheet (PDF/200KB) |
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Contact Us |
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Contact Us today to see why Moody's KMV is the right choice.
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RiskFrontier™ is our next-generation portfolio management solution. Expanding on the award-winning analytics in Portfolio Manager™, RiskFrontier incorporates the latest research and addresses current market demands.
Market Challenge: Assessing Credit Portfolio Risk And Return
Regulators, investors and senior management are requiring financial institutions to improve credit portfolio risk management. Measuring and managing portfolio performance requires forward-looking data, leading-edge analytics and experienced insight.
Moody's KMV RiskFrontier: A Powerful Tool For Measuring And Managing Portfolios
RiskFrontier provides a comprehensive methodology for measuring and benchmarking credit portfolio risk, covering such assets as credit cards, corporate loans, credit-default swaps, commercial real estate loans, and CDO tranches.
RiskFrontier brings a single, cohesive correlation framework to an institution's balance sheet. Only by jointly estimating correlations on actual data across commercial real estate, retail, SME, and large corporate credit risks can senior management make the comparisons needed for strategic decisions.
Moody's KMV analytics were used to calibrate aspects of the Basel II model. Regulators and customers value our use of empirical credit migration data and correlation data from two business cycles.
RiskFrontier is a transparent solution that includes access to the deep expertise of Moody's KMV. The product allows users to gain an understanding of the impact of rating, recovery, term, industry, size and other drivers of portfolio risk. This clarity is critical as institutions move to allocate economic capital to customers and business units for better decision-making.
Moody's KMV Riskfrontier Offers:
- Insight on the contribution of individual exposures and customers to portfolio risk and Economic Capital
- Risk-return analysis for originations, hedges and trades
- Full portfolio loss and value distributions, both in absolute terms and relative to a benchmark
- Monte Carlo-based risk measures for loss volatility and tail risk
- Empirically-based calibrations drawn from the world's richest credit data sources
- Scenario analysis to stress-test a portfolio and perform what-if analysis
Improve Credit Portfolio Performance:
- Make strategic decisions across businesses, industries, geographies and portfolios, based on a unified correlation framework.
- Identify outliers and concentrations that impact performance at the exposure, obligor and industry level.
- Determine appropriate buy-sell quantities with the Trades Scenario Analyzer to enhance performance.
Price For Risk:
- Calculate Sharpe ratios and return on risk-adjusted capital (RORAC) for each exposure and the entire portfolio.
- Understand how new exposures impact portfolio risk-return performance on the margin, using the DealAnalyzer® Module integrated in your loan origination system.
- Determine the required return or spread on an exposure to match or improve portfolio risk-return performance.
- Calculate the shortfall or mispricing in credit revenue for an exposure, given its risk contribution to a portfolio.
Understand And Measure Portfolio Credit Risk:
- Quantify the probability of portfolio credit losses to examine the adequacy of capital and loss budgets.
- Measure risk-return characteristics and the diversification impact of every credit exposure, including homogeneous pools of credit cards or mortgages.
- Analyze the counterparty credit risk of interest-rate swaps and other trading-desk instruments with highly unusual cash flow properties.
- Assess each exposure in terms of stand-alone risk, portfolio risk contribution (taking into account its correlation with all other exposures) and risk-adjusted return.
- Apply stress tests to your portfolio to prepare for certain conditions.
Integration With A Suite Of Moody's KMV Products
RiskFrontier can process data from a variety of sources, including public and private-firm EDF™ (Expected Default Frequency) credit measures and internal ratings. RiskFrontier can read Portfolio Manager files, enabling current users to migrate quickly.
Flexible Framework
RiskFrontier comes with the Moody's KMV leading-edge global correlation model and distance-to-default credit migration matrix. Alternatively, clients may use their own models as inputs to RiskFrontier. |
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