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    Identifying At-Risk Firms in Your Private Firm Portfolio

    October 2018

    Identify the risks in your private firm portfolio using Moody’s Analytics RiskCalc™ Early Warning Toolkit methodology.

    This highly-informative webinar provides a practical approach for effectively monitoring your organization’s large portfolios and reducing your risk exposure.

    Private firm Expected Default Frequency (EDF™) metrics are forward-looking probability of default measures that combine financial statement and equity market information into a highly-predictive measurement of standalone credit risk. The RiskCalc Early Warning Toolkit recommends tracking five EDF-related metrics associated with elevated future default risk. Learn which metrics you should be identifying and tracking to reduce your portfolio risk exposure.

    Our subject matter experts discuss:

    • High-level best practices and the practical application of the Early Warning Toolkit for private firms.
    • Recent Early Warning Toolkit research enhancements including optimized EDF trigger levels, and a Deterioration Propensity Index.
    • Tools available via Moody's Analytics Excel Add-in, including customized templates and dashboards.
    Related Articles

    Company AA Displayed Increasing Default Risk Starting Late-2015

    Company AA, a U.S.-based transportation company, defaulted in August, 2018. The Moody’s Analytics EDF™ (Expected Default Frequency) metric and Early Warning Toolkit highlighted the company’s rising default risk 33 months before default. This case study details how the EDF measure and Early Warning Toolkit can assess risk.

    February 2020 WebPage Irina Baron, Gustavo Jimenez

    Expanding Roles of Artificial Intelligence and Machine Learning in Lending and Credit Risk Management ‍

    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?

    November 2019 Pdf Dr. Douglas Dwyer, Dr. Tony Hughes

    Assessing Financial Statement Quality

    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.

    November 2019 Pdf Dr. Douglas DwyerDr. Janet Zhao

    Beyond Compliance: Extending the Value of Risk and Finance Insights Strategically

    As firms move ahead in meeting a variety of regulations, executives are looking for solutions that not just meet these requirements, but improve business processes.

    November 2019 Pdf Irina Baron, Mehna Raissi

    Moody's Analytics Webinar: Introducing RiskCalc Portfolio Analytics

    Power Your Portfolio Management Practice with Benchmark Data and Advanced Insights.

    May 2019 WebPage Irina Baron, Gustavo Jimenez, Lenka Huang

    Moody's Analytics Webinar: The Changing Landscape for Model Risk Management

    Regulatory compliance has significantly altered the model development and validation landscape, while increasing the amount of data to be validated.

    March 2019 WebPage Anamaria Pieschacon, Irina Baron, Michael Denton

    MARQ Score Methodology

    MARQ Score Methodology

    February 2019 Pdf Dr. Douglas Dwyer

    Sovereign & Size-Adjusted EDF-Implied Rating Template (for Private Firms)

    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.

    December 2018 Pdf Maria Buitrago, Uliana Makarov, Dr. Janet ZhaoDr. Douglas Dwyer

    Identifying At-Risk Names in Your Private Firm Portfolio — RiskCalc Early Warning Toolkit

    This report outlines a practical approach for using RiskCalc EDF credit measures to effectively monitor large portfolios of private firms and to proactively identify at-risk names. The RiskCalc Early Warning Toolkit Excel add-in is an easy to use, yet comprehensive tool that allows users to focus costly and scarce resources on a highly targeted selection of the most at-risk names in their portfolios. This research for private firms compliments previous research on Early Warning Toolkit for public firms. The Early Warning Toolkit identifies at-risk names within a private firm portfolio well before default, using a number of different EDF-related risk metrics.

    November 2018 Pdf Ziyi Sun, Dr. Janet Zhao, Gustavo Jimenez

    Validating and Understanding a Highly Nonlinear Machine Learning Model

    In validating a highly nonlinear model, a traditional nonlinear model provides a useful reference.

    November 2018 Pdf Dr. Douglas Dwyer
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