Citi to use Moody’s KMV tracking error system

technology news


The Yield Book, Citigroup’s analytics unit for the asset management community, is to incorporate public default probability measures from Moody’s KMV into a new tracking error algorithm.

Citigroup says that the new tracking error function will allow asset managers to calculate and decompose tracking error versus the suite of Citigroup indexes as well as user-defined benchmarks. The incorporation of these credit measures—known as Expected Default Frequency (EDF)—extends The Yield

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free registration? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here