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.
The week on Risk.net, July 7-13, 2018Receive this by email