Featured Product

    Credit Analytics for Main Street Lending

    May 2020

    Originating, scoring, and maintaining proactive knowledge of your lending book can be an overwhelming task.

    Join us for an interactive discussion on the pressing topic of risk assessment during pandemic times. During the session, Moody’s Analytics experts and our partners at Cortera will focus on insights and approaches to aid your credit decisioning process.   


    Speakers:
    • Altaf Ghori, Moody's Analytics
    • Ed Oetinger, Moody's Analytics 
    • Jim Swift, Cortera
    • Janet Zhao, Moody's Analytics


    Presentation Slides

    Related Articles
    Whitepaper

    RiskCalc Private Firm Converter v1.3

    This document presents an approach that converts Through-the-Cycle (TTC) Probability of Default (PD) measures to Point-in-Time (PIT) measures and produces a lifetime term structure.

    December 2019 WebPage Maria Buitrago, Uliana Makarov, Dr. Janet Zhao
    Presentation

    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 Douglas Dwyer, Dr. Janet Zhao
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    Usage and Exposures at Default of Corporate Credit Lines — An Empirical Study

    Using a unique data set pooled from multiple U.S. financial institutions, we empirically study the credit line usage of middle-market corporate borrowers.

    September 2019 WebPage Dr. Janet Zhao, Lucia Yang
    Whitepaper

    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 Zhao, Douglas Dwyer
    Whitepaper

    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
    Whitepaper

    Features of a Lifetime PD Model: Evidence from Public, Private, and Rated Firms

    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.

    May 2018 WebPage Sajjad Beygiharchegani, Uliana Makarov, Dr. Janet Zhao, Douglas Dwyer
    Presentation

    Applications of Alternative Data in Credit Decisioning

    In this webinar, a panel of research and data scientist experts across Moody's Analytics discuss social data in probability of default modeling, closed and open data for location scoring, and text analytics for credit risk.

    April 2018 Pdf Eric Bao, Irina Korablev, Rama Sankisa, Dr. Janet Zhao
    Webinar-on-Demand

    Applications of Alternative Data in Credit Decisioning

    With an immense amount of available data generated worldwide within the last two years, the next evolution of banking analytics will include information from a variety of open and closed sources.

    April 2018 WebPage Eric Bao, Irina Korablev, Rama Sankisa, Dr. Janet Zhao
    Whitepaper

    Combining Financial and Behavioral Information to Predict Defaults for Small and Medium-Sized Enterprises: A Dynamic Weighting Approach

    This note presents the first tool that assesses borrowers’ credit risk using a scientific method that leverages both financial and behavioral information.

    September 2017 WebPage Alessio Balduini, Douglas Dwyer, Sara Gianfreda, Reeta Hemminki, Lucia Yang, Dr. Janet Zhao
    Whitepaper

    Moody's Analytics RiskCalc Transfer Pricing Solution

    Tax authorities monitor cross-border, inter-company loan and financing transactions to curb tax avoidance and require arm's length pricing for such transactions. At the core of arm's length pricing is the process of understanding the creditworthiness of a borrower and identifying a typical interest rate charged to borrowers with comparable credit ratings. The Moody's Analytics RiskCalc Transfer Pricing Excel Template provides a consistent, analytical solution to the arm's length transfer pricing process. This document explains the methodology behind this tool.

    August 2017 Pdf Dr. Janet Zhao, Jeunghyun Kim
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