Based on RiskMetrics Group's transparent CreditMetrics methodology, CreditManager helps quantify overall credit risk by capturing market exposure, rating changes and default risks within a VaR-like framework. CreditManager now features enhanced stress testing, securitization exposure, and a suite of advisory services. The new features enable institutions to more easily manage their Pillars II and III compliance with Basel II using CreditManager's cutting-edge technology.

The recent onslaught of leveraged buyouts and subprime lending woes are the primary drivers behind the current concerns around credit risk. This rise in credit risk is leading to a new emphasis being placed on how institutions evaluate and manage their portfolio credit risk. As a result, institutions are asking for sophisticated risk management tools that combine credit risk across the board to obtain a complete picture of firm-wide risk. RiskMetrics Group's CreditManager consolidates and compares risks and opportunities across the entire credit business: bonds, credit derivatives, traditional lending such as commitments and letters of credit, and the retail business.

The new securitization exposure type in CreditManager is designed to capture the realized losses of a synthetic CDO, whereby the protection buyer is compensated for losses between some minimum and maximum levels (attachment and detachment points). The enhanced stress testing function stresses recovery rates, rating transitions, spreads and correlations. The new advisory services gives guidance to institutions on mapping exposures and on proxying unlisted obligators or companies. Additionally, the advisory services can help with customizing best market practices to user requirements by interpreting report results and helping with the adoption of relevant statistics from a business perspective.

"This new release further establishes CreditManager as the preferred analytical and reporting tool for credit risk and economic capital management, and asset allocation," said Ran Fuchs, RiskMetrics Group's Head of Credit Business. "This is the first in a series of scheduled product enhancements that extend the boundaries of Credit Risk software and help ensure that CreditManager meets the needs of our worldwide client base."