Credit Risk Management

Leading Risk Management Solutions for Companies With Retail Lending Exposure

Overview

Moody's Economy.com is the only major provider that is able to adequately account for both noneconomic 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.

Moody's Credit Risk Service helps companies model retail lending portfolio performance for all consumer loan types, including (but not limited to) mortgages, auto loans, credit cards, student loans, installment loans, and personal lines of credit as well as all types of consumer credit, pools that back structured finance products (ABS, RMBS, CBMS, CDOs, etc.).

Applications

• All Delinquency Buckets
• Probability of Default (PD)
• Loss Given Default (LGD)
• Total Loss
• Economic Capital Requirements
• Sensitivity Analysis
• Shock Analysis and Stress Testing
• Scenario Analysis
• Prepayment Models

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.

Updates

Baseline forecast is updated monthly.