âThe 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,â said Dr. Amnon Levy, Managing Director of Portfolio Research at Moodyâs 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 firmâs loan volume and business needs. âTraders and loan originators can now analyze the impact of different deal structures on a given portfolio,â said Vanessa Wu, Managing Director of Portfolio and Valuation Products at Moodyâs Analytics.
âRiskFrontier 2.4 also includes improvements in user experience and performance that are an outgrowth of the interactions we have with our customers and reflect Moodyâs Analytics leading position in the market,â said Wu.
Moodyâs Analytics was named one of the top overall risk management solutions providers in Risk Magazineâs 2009 Technology Rankings, and Moodyâs Analytics comprehensive suite of risk management solutions was ranked number one for Economic Capital Calculation, Regulatory Capital Calculation, and Regulatory Reporting.