Moody’s Analytics, a leader in risk measurement and management, today
announced that it has added customization options to its Portfolio
Analyzer (PA) suite of stress testing products, including Mortgage
Portfolio Analyzer (MPA), Auto Portfolio Analyzer (APA) and PA-ABS, a
credit model for asset-backed securities. The new options let banks and
other financial institutions create custom credit models using their own
historical data and lending patterns. Customizing helps clients create
models that reflect the needs of their institutions’ data set.
“Evolving stress test best practices are driving the need for risk
management solutions that allow financial institutions to have complete
transparency into the risks associated with their own loan books and the
flexibility to quickly run custom stressed scenarios under a variety of
macroeconomic paths,” says Luis Amador, Senior Director and Head of
Moody’s Analytics Structured Finance Valuations Team. “Our stress
testing and capital allocation suite is the only solution available that
ties a financial institution’s idiosyncratic lending and trading
patterns across auto loans, residential mortgages, auto ABS, and RMBS
for each loan.”
The customization option benefits institutions involved in stress
testing, especially those required to participate in the U.S. Federal
Reserve’s Comprehensive Capital Analysis and Review (CCAR) or Dodd-Frank
Act Stress Test (DFAST) process. It provides the flexibility to adjust
model parameters at the individual-loan level or for the entire
portfolio, including default, prepayment, severity and recovery lags as
well as probability of non-payment of primary mortgage insurance. It can
also be used to incorporate user assumptions and to reflect loan
modifications.
Portfolio Analyzer’s custom credit models ensure maximum transparency by
exposing the Coefficients and T-scores for each model. Its Scenario
Designer feature lets users create custom economic scenarios, which can
be defined from simple national level to granular MSA level.
For more information, visit http://www.moodysanalytics.com/pa.
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 the
proprietary analysis of 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. More information is available at www.moodysanalytics.com.
Copyright Business Wire 2013