KMV enhances Portfolio Manager analytics
Moody's KMV, a provider of quantitative credit risk tools to investors and corporations, has added its LossCalc model to its Portfolio Manager risk management product. LossCalc is used to determine the risk and return characteristics of portfolios of corporate liabilities.
The product yields forward-looking LGD estimates which, the company said, are more accurate than those derived from tables of historical averages, because they include macroeconomic, industry- and firm-specific variables in addition to historical recovery rates broken down by debt type and seniority. The LGD parameters are set at the obligation level, calculating the individual mean LGD and distribution parameter for each obligation.
Moody's Risk Management Services bought KMV last year.
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