Credit Risk

Solutions to provide a complete picture of counterparty risk and portfolio credit risk

With credit issues broadening in the markets, a new emphasis is being placed on risk and how institutions deal with risk. Now more than ever there is a need for more sophisticated risk and economic capital management techniques and tools to manage increasing amount of credit risk.

With its robust, industry-standard methodology, transparency and broad coverage of asset classes, RiskMetrics Credit Risk solutions provide a complete picture of portfolio credit risk for more than 100 clients including: Banks, Pension Plans, Insurance Companies, and Asset Managers.

RiskMetrics analytics offer a wide range of statistics with coverage to meet the diverse credit risk management needs of market participants, and can be delivered to suit your process needs: via an interactive application, a reporting service or web services. Some available credit risk statistics include:

Average Default Probability, Change Due to Default, Change Due to Rating Migration, Change Due to Roll Down
Expected Change in Horizon Value, Expected Loss, Expected Return, Expected Shortfall,
Economic Capital , Return on Economic Capital, Return on Regulatory Capital,
Concentration across multiple risk dimensions: countries, industries, asset classes, ratings
Exposure ,Current Value, Book Value
Cash Payments
VaR, VaR Contribution (Incremental VaR)
Limit, Limit Excession, Limit Utilization
Mean Horizon Value, Regulatory Capital, Regulatory Exposure,
Risk Weighted Assets
Standard Deviation, Incremental Standard Deviation
Counterparty risk
Potential future exposures