Moody's Analytics, an enterprise risk management solutions provider, has released RiskFrontier 2.6, its portfolio management and economic capital calculation solution for banks, insurance companies, asset management firms and corporations.

The update introduces Relative Risk Analysis, also known as Relative VaR Analysis, which allows risk managers to compare portfolio performance against a benchmark portfolio or index. Also included is GCorr 2010, an update to Moody's Analytics forward-looking multi-factor asset correlation model. GCorr 2010 shows asset correlations subsiding from the levels observed over the past three years.

“Relative risk analysis gives portfolio managers a tool to measure the effectiveness of portfolio strategies not just in absolute terms but relative to a benchmark portfolio or index,” said Vanessa Wu, managing director of Portfolio Products at Moody's Analytics. “This enhances the way clients can evaluate performance and monitor changes in risk.”

RiskFrontier 2.6 includes GCorr 2010, an update to Moody's Analytics global asset correlation model. GCorr 2010 indicates that corporate asset correlations will subside in 2011 from the levels observed over the past three years. This interpretation is consistent with the mean-reversion pattern in asset correlations—recent levels associated with the financial crisis were above the long-term trend and are therefore expected to decline. In addition, the range of asset correlations is expected to widen within many regions.

Risk Frontier 2.6 also features unlimited user-defined variables which allow users to track the performance of custom segments within and across portfolios and provides the ability to take and store portfolio snapshots—a key feature for tracking portfolio performance over time.