Douglas Dwyer heads Single Obligor Research, a group that produces credit risk metrics of small businesses, medium-sized enterprises, large corporations, financial institutions, and sovereigns worldwide. Banks, asset managers, insurance companies, accounting firms, and corporations use the group’s models to measure credit risk for a variety of purposes. Doug and his group are researching machine learning-based techniques for credit risk modeling.
Credit Risk Modeling: Moody’s Analytics delivers award-winning credit models and expert advisory services to provide you with best-in-class credit risk modeling solutions.
Stress Testing: Moody’s Analytics helps financial institutions develop collaborative, auditable, repeatable, and transparent stress testing programs to meet regulatory demands.
Asset Valuation: Process of determining the fair market or present value of assets using book values.
Economic Risk Assessment: Quantitative economic assessment to help you understand the impact of forward-looking changes on the performance of your business and portfolios.
Econometric Modeling: Fully transparent econometric and statistical models to assess performance of geographies, financials and various asset classes.
Developed a method to convert a rating into a point-in-time term structure of PDs that supports IFRS 9 and CECL calculations.
With ever-expanding and improving AI and Machine Learning available, we explore how a lending officer can make good decisions faster and cheaper through AI. Will AI/ML refine existing processes? Or lead to completely new approaches? Or Both? What is the promise? And what is the risk?
Is a financial statement decision useful? Is it informative enough to make a loan, acquire a company, increase a limit or move a borrower to work out? The quality of financial statements is a concern for all firms, especially as the demand for faster and more accurate due diligence grows.
RiskCalc™ EDF™ (Expected Default Frequency) values and agency ratings are widely used credit risk measures. RiskCalc EDF values typically measure default risk for private companies, while agency ratings are only available for rated companies. A RiskCalc EDF value measures a company's standalone credit risk based on financial statement information, while an agency rating considers qualitative factors such as Business Profile, Financial Policy, external support, and country-related risks. Moody's Analytics new Sovereign & Size-Adjusted EDF-Implied Rating Template combines RiskCalc EDF values with additional factors to provide a rating comparable to agency ratings for private companies. The new template applies to RiskCalc EDF values across numerous geographies and regulatory environments. With the new template, users can generate a rating more comparable to an agency rating than RiskCalc EDF values or EDF-implied ratings. Analyzing data from 3,900+ companies in 60+ countries, we find that sovereign rating and total asset size, in addition to EDF value, have a statistically significant impact on an agency rating — our quantitative template incorporating these three variables reliably estimates agency ratings in a robust fashion.
In validating a highly nonlinear model, a traditional nonlinear model provides a useful reference.
Identifying At-Risk Firms in Your Private Firm Portfolio
With the new CECL and IFRS 9 requirements, this document formally investigates and summarizes the term structure properties consistently seen across public, private, and rated firms.