Moody’s Analytics Launches RiskFrontierTM 3.4 with New Combined Regulatory & Economic Capital Measures

Wed Sep 11, 2013 8:30am EDT

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Moody’s Analytics Launches RiskFrontierTM 3.4 with New Combined Regulatory & Economic Capital Measures

Moody’s Analytics, a leader in risk measurement and management, today announced the release of RiskFrontier™ 3.4, the latest version of its award-winning portfolio management and economic capital solution for banks, insurance companies, asset management firms, and corporations. RiskFrontier 3.4 adds a new risk measure that combines regulatory and economic capital into a single metric.

The model in RiskFrontier treats regulatory capital charges as a binding constraint that reduces profitability, and produces a series of unified metrics that quantify their impact. These metrics (e.g., expected return, return on risk-adjusted capital, and Sharpe Ratio) allow institutions to rank-order the instruments in their portfolio, as well as new deals, while simultaneously accounting for economic risks and regulatory charges. Users import the regulatory capital charges into RiskFrontier from other sources, including RiskAuthorityTM, Moody’s Analytics regulatory capital solution.

“As banks continue to respond to the capital regulations proposed under Basel III, they face the challenge of reconciling their regulatory requirements with their existing economic capital infrastructure,” said Dr. Amnon Levy, Head of Portfolio Research at Moody’s Analytics. “Our new model provides a practical and theoretically sound approach for evaluating both information sources as part of the decision-making process.”

RiskFrontier 3.4 also introduces Risk Driver Analysis, which provides transparency into variables that have the greatest impact on a portfolio’s risk. This helps users to measure the incremental impact of individual risk drivers on portfolio results.

“The addition of Risk Driver Analysis was a natural next step for RiskFrontier,” said Chris Shayne, CFA, Head of Portfolio Products at Moody’s Analytics. “We have seen demand for a way to automate the risk attribution process, and this feature allows our clients to efficiently and accurately measure the impact of key risk factors.”

RiskFrontier 3.4 includes updates to the GCorr® Sovereign Model, which helps users better assess the correlation among sovereign debt from various nations and other asset classes. The enhanced model covers 91 sovereign countries or territories and 99.5% of sovereign debt issuance in the world.

Financial institutions around the world use RiskFrontier for credit portfolio management, valuation, capital optimization, risk based pricing, performance management and stress testing. It provides granular analysis of a portfolio’s risk drivers through advanced analytics and modeling methodologies.

For more information, please visit www.MoodysAnalytics.com/RiskFrontier2013.

About Moody’s Analytics

Moody’s Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services and research, including proprietary analyses from Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE: MCO), which reported revenue of $2.7 billion in 2012, employs approximately 7,000 people worldwide and has a presence in 29 countries. Further information is available at www.moodysanalytics.com.

Moody’s Analytics
JESSICA SCHAEFER, 212.553.4494
AVP. Communications
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KERSTIN VOELKEL, +44 20 7772 5207
Communications Strategist
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