Moody's Analytics Upgrades RiskFrontier for Sovereigns

Moody's Analytics has released version 3.0 of its credit-portfolio management and capital calculation solution, RiskFrontier.

Perhaps the most significant advancement with this release is the upgrade made to RiskFrontier's GCorr multi-asset correlation module to include "99.5" of sovereign debt that's been issued, officials tell BST. The sovereign correlation model has been integrated with the other models in GCorr - including worldwide corporates, retail and small- and medium-enterprises (SME)

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