Identifying At-Risk Names in Your Credit Portfolio
A new study from Moody's Analytics uses a quantitative Expected Default Frequency (EDF) model to assess the impact of the pandemic on corporate credit risk in Southeast Asia.
China’s corporate credit market has grown rapidly in recent years as both a cause and effect of its growing economy.
Since the global financial crisis, bank stress testing has become an essential part of regulators’ toolkits for monitoring and maintaining financial stability. Anticipating the results of a formal stress test through simulation can enhance a bank's internal risk management as well as provide strategic business insight.
In this webinar Moody’s Analytics discuss the Marco-economic and credit market conditions likely to affect the future risk of default for Chinese companies; way to measure and manage the default risk of Chinese firms, and strategies for early detection of default risk.
This whitepaper discusses the findings of our simulation exercise to the corporate loan portfolios of Australia's five largest banks.
In this webinar, David Hamilton presents the results of a simulated stress test of the corporate loan portfolios of Australia’s five largest banks (by asset size) conducted by Moody’s Analytics.
In this webinar, Moody’s Analytics combines the techniques of network analysis with the richness of Moody’s CreditEdge™ platform to compute systemic risk measures spanning the last 20 years for five major southeast Asian economies.
This article looks back at the Asian financial crisis of 1997-1998 and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today’s financial institutions and regulators.
Olam's probability of default has jumped significantly since the start of year, from 0.2% to its current level of 1.17%, suggesting heightened risk of a credit event. The firm's low margins, increasing debt levels to fund agricultural investments, liquidity concerns, and a deteriorating market capitalization, all indicate that the firm's probability of a credit event has increased. The firm's EDF measure has underperformed its industry peer group, which according to Moody's Analytics' research is an early warning signal of default risk.
Earlier this year Sharp's EDF measure began to trend in a range suggesting very heightened risk of default, rising from 1.21% In January 2012, to 20.85% as of November 15, 2012. The firm's weak liquidity, substantial operating losses, and heightened EDF measure – equivalent to a Ca implied rating – indicates that the likelihood of a credit event in the near future remains high.