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.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Technology
What is driving the ALM resurgence? Key differentiators and core analytics
The drivers and characteristics of a modern ALM framework or platform
Are EU banks buying cloud from Lidl’s middle aisle?
As European banks seek to diversify from US cloud hyperscalers, a supermarket group is becoming an unlikely new supplier
Inside the company that helped build China’s equity options market
Fintech firm Bachelier Technology on the challenges of creating a trading platform for China’s unique OTC derivatives market
AI ‘lab’ or no, banks triangulate towards a common approach
Survey shows split between firms with and without centralised R&D. In practice, many pursue hybrid path
Everything, everywhere: 15 AI use cases in play, all at once
Research is top AI use case, best execution bottom; no use is universal, and none shunned, says survey
FX options: rising activity puts post-trade in focus
A surge in electronic FX options trading is among the factors fuelling demand for efficiencies across the entire trade lifecycle
Dismantling the zeal and the hype: the real GenAI use cases in risk management
Chartis explores the advantages and drawbacks of GenAI applications in risk management – firmly within the well-established and continuously evolving AI landscape
Chartis RiskTech100® 2024
The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…
