Moody’s KMV boosts analytics

Moody’s KMV, the San Francisco-based quantitative credit analytics firm and subsidiary of rating agency Moody's, has launched a new web-based tool to value credit spreads and analyse the drivers behind credit spread movements. It has also revamped its default probability tools.

The new service, dubbed CreditEdge Plus, allows users to select a company and date to reveal asset and equity volatility, market leverage, spread-implied loss-given default/residual, market Sharpe ratios and the corporate default risk-free spread.

Users can also construct and analyse the impact of various scenarios on credit spreads, said Tim Kasta, managing director at Moody’s KMV. CreditEdge Plus incorporates Moody’s KMV’s expected default frequencies (EDFs) model for valuing corporate bonds and credit default swaps.

In other news, Moody’s KMV released a new version of RiskCalc, its default probability tool. RiskCalc 3.1 includes additional financial ratios and more frequent updates to EDF prediction.

RiskCalc 3.1 includes EDFs on a cumulative, forward and annualised basis and computes the EDF percentile, estimated asset volatility, implied asset value and maps the EDF to a bond rating. It also provides financial ratios, such as sales growth, cash to assets and leverage.