Credit Risk Management

Credit risk management solutions that facilitate stress-testing for all major asset classes.

Moody's Analytics provides comprehensive, industry-leading portfolio analytics and stress-testing solutions focused on improving economic return to financial institutions and companies worldwide. Our focus is on the application of the best practices—going beyond minimum regulatory requirements to improve portfolio performance and enhance economic return.

We are the only major provider able to adequately account for both non economic and economic factors in explaining changes in credit quality. We combine expertise in standard credit risk modeling such as probability of default (PD), loss given default (LGD), economic capital requirements, and industry-leading economic scenario analysis.

As a member of the Moody's family, we often partner with Moody's Analytics Enterprise Risk Solutions to provide comprehensive services that span the full spectrum of credit risk. We have experience across all major asset classes including retail loans, mortgages, autos, credit cards, student loans, personal lines; structured pools backed by consumer loans such as ABS, RMBS and CDOs; commercial mortgage backed securities (CMBS); government yield term structure, swap rate term structure, stock market indices, CDS spreads, ratings, rating transitions, money market rates, etc.

We offer innovative solutions to modeling portfolio performance that are able to explain variation due to vintage, seasonality, region, non economic factors, and more; forecast performance of existing and future vintages; and design credit scores that more accurately account for business cycle influence, among others. Our deep expertise in consumer credit and its economic drivers, along with leading loss analytic capabilities, provide the most authoritative service available to firms with retail credit exposure.

As the leader in global economic consulting, we provide rigorous scenario analysis to a wide range of industries. Our robust country and regional econometric models provide the foundation for scenario analysis, including gross shocks, and enable a consistent modeling approach across all asset classes. Our regular country and consumer credit analysis and forecasts provide an unparalleled understanding of each country's credit and business cycle.

Typical Client Uses Include

  • Forecasting a variety of performance indicators such as: delinquency buckets, probability of default (PD), loss given default (LGD), total loss, pre-payments, revenue/fee income, etc.
  • Stress-testing
  • Capital requirements
  • Sensitivity analysis
  • Shock analysis
  • Scenario analysis

Key Features

Our unique and cutting-edge modeling services include:

  • A consistent and integrated framework that gives clients the ability to forecast and stress-test their retail exposure according to alternative assumptions on internal policy targets and the performance of the surrounding economic environment.
  • Forecasting not only the future behavior of existing tranches but the future performance of future tranches as well.
  • Developing models to explain variation not already explained by vintage, seasonality and trends.
  • Modeling individual record data and constructing credit scores adjusted for business cycle and regional variations.
  • Modeling the output from commercial risk modeling software.
  • Modeling credit risk through the cycle with scenario-based analyses and stress-testing.
  • Creating consumer credit conditions reports, which can be used as inputs in clients' planning teams.
  • Evaluation, validation and refinement of existing credit risk and economic models.