Climate Lab Blurb
Seeing credit risk more clearly
MSCI’s Integrated Market and Credit Risk Model combines our long-term horizon market risk modeling engine with the well-established CreditMetrics portfolio credit risk model. Our model jointly simulates market risk factors and individual default events via default risk drivers. The simulation yields consistent scenarios, accounting for profit and loss arising from cash flows, aging, market movements and defaults of individual entities with full repricing of positions. As a result, the model can deliver risk insights under a broader set of conditions and across credit qualities without making assumptions regarding the dominance or independence of any of the risk types.