Moody’s Analytics has rolled out the latest version of its credit portfolio management and economic capital calculation solution, RiskFrontier 3.0. The new sovereign correlation module, an extension of GCorr, Moody’s Analytics’ global multi-factor asset correlation model, will allow financial institutions to better quantify and manage the sovereign risk exposure in their portfolios.

The new model will help credit portfolio managers assess their sovereign risk by quantifying the correlation between sovereigns as well as other asset classes. The new sovereign risk model, which captures sovereign risk for 89 sovereigns and territories that account for 99.5% of sovereign debt issuance, will allow clients to perform “what-if” analysis by filtering a portfolio based on any combination of user-defined variables.

Click here for the release from Moody’s Analytics.