Default and Recovery

Much of our research focuses on modeling default and loss. Our Expected Default Frequency™ (EDF™) credit risk measures are accurate and forward-looking probabilities of default for both public and private firms.

Built from decades of experience utilizing extensive datasets and proven models, EDF measures have been validated on defaults and credit spreads and have become the de facto standard for lenders and investors worldwide.

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Each month, utilizing Moody’s Analytics Public EDF (Expected Default Frequency) model and Moody’s Analytics Private Firm EDF model (RiskCalc), we analyze one public company and one private company default in more detail. We highlight the EDF credit measures’ performance based upon the specific financial situation of each company.

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Moody’s Analytics LossCalc v3.0 model is used for predicting Loss Given Default (LGD). Each month, we take an in-depth look at a defaulted single obligor and estimate its LGD and expected recovery rate using LossCalc v3.0. We also analyze the firm’s recovery term structure combined with other factors, such as geography, industry, credit cycle stage, debt type, standing in the capital structure, collateral type and the firm’s credit quality.

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