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Gain a practical understanding of public firm EDF methodology and its applications using CreditEdge.

Who Should Attend

    This tutorial is targeted to credit professionals who wish to better understand the Moody's Analytics expected default frequency (EDF) model and its implementation in CreditEdge, so that they can fully utilize it to analyze credit risk of public firms.

    The tutorials can be accessed any time at http://support.moodysanalytics.com/.

Learning Objectives

  • Understand public firm EDF methodology and its implementation in CreditEdge.
  • Learn the relationship between a public firm's capital structure, its market value of equity, and its market value of assets, and how those relationships can be used to calculate probability of default.
  • Know how to use CreditEdge to understand the drivers behind a firm's default risk, compare a firm with other firms or peer groups, and complete what-if and pro-forma analyses.

Topics

    Part 1: Understanding the public EDF model (30 minutes)

  • Understanding the probability of default and the cause of default
  • Calculating the EDF drivers: asset value, default point and asset volatility
  • Putting it together: From three drivers to distance-to-default and EDF credit measure
  • Part 2: Interpreting outputs and reports (25 minutes)

  • Analyzing portfolios
  • Identifying EDF drivers
  • Comparing to peers
  • Performing what-if analyses
  • Monitoring credit risk