October 2013

Identifying At-Risk Names in Your Credit Portfolio

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No Surprises: Gaining Strategic Insight Through Stress Test Simulation

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Simulating a Stress Test of the Corporate Loan Portfolios of Australia's Largest Banks

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Measuring Systemic Risk in the SE Asia Financial System

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Case Study: Olam International Limited

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.

December 2012 Pdf Irina Makarova

Sharp Corporation EDF Case Study

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.

November 2012 Pdf Irina Makarova

Best Buy Co., Inc.

Through much of its history Best Buy was considered one of the most successful retail stores in the US. However, since 2010 the electronics retailer has faced business and financial challenges that are placing increasing pressure on its credit quality.

October 2012 Pdf David Hamilton, Irina Makarova
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