Credit Risk Analytics

MSCI CreditManager

Our CreditManager solution is designed to quantify portfolio credit risk by capturing market exposure, ratings changes, and default risk within value-at-risk (VaR) and expected shortfall simulations. We enable data loading, cleaning, normalization, and validation from third-party sources such as custodians and fund administrators. We also develop and operate production processes to calculate risk analytics for your portfolios. Analysis results are reported through an interactive web application, ready-to-use reports and/or APIs.

With CreditManager you can perform:

• Credit risk attribution
• Economic and regulatory capital reporting
• Correlated recovery
• Concentration charge add-on

*As of November 28, 2023

Want to learn more? Download our fact sheet for more details on key features and benefits.

Integrated Market and Credit Risk (IMC) model

We provide insurance clients with a unified view of risk across assets, credit qualities and time horizons, by combining our long-term horizon market risk modeling engine with our CreditMetrics^TM portfolio credit risk model.

The IMC model jointly simulates market risk factors and individual default events via default risk drivers, yielding consistent scenarios. These scenarios account for profit and loss arising from cash flows, aging, market movements and defaults of individual entities with full repricing of positions. As a result, we can deliver risk results under a broader set of conditions and across credit qualities without making assumptions regarding the dominance or independence of risk types.

The model calculates risk measures under stressed market conditions and can incorporate views on stressed probabilities of default. It offers additional insights on contributors to the total risk through credit-risk- and market-risk-only simulation models.

Key benefits

• Single modeling framework to capture both market and credit default risk of a portfolio.
• End-to-end risk management offering analytics, data, and terms-and-conditions mapping.
• Flexibility to use custom inputs to override probabilities of default or credit drivers and mix client- and MSCI-provided data.

Interested? Download our fact sheet for more information.