Moody's integrates credit risk software with GFA

Moody’s Risk Management Services (MRMS) and California-based Gifford Fong Associates (GFA), provider of financial consulting and propriety analytical tools, have completed the integration of their default prediction and fixed-income portfolio management products and expertise.

MRMS and GFA have linked the MRMS suite of RiskCalc, a default prediction model for quantitative credit risk, and Genesis, GFA’s fixed-income portfolio analysis software.

MRMS claimed the integration would provide a tool for asset managers, investment banks and traders that can be used for capital allocation, hedging and the analysis of portfolio performance and sensitivity. It is intended to improve the analysis of credit-related portfolio risk and return profiles of portfolios of credit- and interest rate-sensitive assets such as bonds, derivatives and corporate loans.

Andrew Kimball, managing director of MRMS, said: “GFA is a leader in providing research and high-end fixed-income portfolio analytics. We believe asset managers will benefit greatly from the integration of Genesis and RiskCalc as a means to better understanding and managing the risk, and, as importantly, the performance of their fixed-income portfolios.”

Using MRMS RiskCalc models to estimate the default probability of a borrower or counterparty, Genesis clients can evaluate the credit-related risk exposure of their portfolios, including companies that do not have public credit ratings. “MRMS’ suite of RiskCalc products provides first-rate default estimations for our clients to drive the analysis,” said Gifford Fong, president of GFA.

“The ability to evaluate the credit-related risks for fixed-income portfolios in conjunction with other risks such as interest rate exposure is an important component of portfolio management. High quality default prediction models are key in this regard. Our agreement with GFA offers RiskCalc to clients as a precise means to integrate this analysis across an entire portfolio,” added Roger Stein, managing director of quantitative risk analytics at MRMS.

MRMS said this and the formation of Moody’s academic advisory and research committee is in response to a growing interest in credit models brought about by changes in supervisory practices for banks, and a series of highly publicised credit events in the capital markets.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here