Structured Finance Default Risk Service

Why Use Moody's Ratings History and Default Data to Calculate Probability of Default (PD)?

Measurement of the probability of default for a structured financial exposure over a given investment horizon is often the first step in credit risk modeling, management, and pricing. Rating agency default studies are widely-used sources for estimates of these important parameter values. Moody’s Structured Finance Default Risk Service (SF DRS) provides you with access to the data underlying Moody’s default studies, allowing you to anticipate changes in probability of default and fine-tune your models.

 

Understanding how probability of default varies by industry and issuer is important for making accurate risk assessments in a dynamic credit environment. SF DRS provides data on a monthly basis across all of these metrics, as well as information regarding an entity’s outlook and watch status.

Print