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Moody's Analytics RiskFrontier Enhances CDO Risk Analysis

Moody’s Analytics, a leader in risk management solutions, today announced the release of RiskFrontier 2.4, an update to its portfolio management and economic capital solution. The update features a new CDO risk model that better represents the correlation of structured assets within a portfolio. In addition, RiskFrontier’s deal analysis module can now be customized to allow for real-time calculations of a deal’s impact on a portfolio.

“The market convention of treating CDOs and other structured instruments as loan equivalents or homogeneous pools of assets when analyzing portfolio and portfolio-referent risk has often been problematic, leaving many portfolio managers with an incomplete view of risk,” said Dr. Amnon Levy, Managing Director of Portfolio Research at Moody’s Analytics. The new RiskFrontier CDO model accounts for heterogeneity within collateral pools of structured instruments. The model covers CDOs, ABS, RMBS, CMBS, Basket Default Swaps and other structured instruments.

In addition to the new model, RiskFrontier 2.4 offers performance enhancements to DealAnalyzer, its deal analysis module, that make it possible to calculate in real-time the return on risk adjusted capital (RORAC) for new deals. A new system console allows administrators to customize the installation of the module to their firm’s loan volume and business needs. “Traders and loan originators can now analyze the impact of different deal structures on a given portfolio,” said Vanessa Wu, Managing Director of Portfolio and Valuation Products at Moody’s Analytics.

“RiskFrontier 2.4 also includes improvements in user experience and performance that are an outgrowth of the interactions we have with our customers and reflect Moody’s Analytics leading position in the market,” said Wu.

Moody’s Analytics was named one of the top overall risk management solutions providers in Risk Magazine’s 2009 Technology Rankings, and Moody’s Analytics comprehensive suite of risk management solutions was ranked number one for Economic Capital Calculation, Regulatory Capital Calculation, and Regulatory Reporting.