Moody's extends RiskCalc coverage to UK

Moody's Risk Management Services (MRMS) has added non-financial private UK company data to its Web-based default estimator tool, Moody's RiskCalc.

Developed in co-operation with international consultancy firm Oliver, Wyman, Moody’s RiskCalc UK is a quantitative model that uses financial statement data on a historical database of UK private firms, of which over 4,500 had defaulted. This model can be used to benchmark risk for a single company or manage the credit risk of an entire portfolio.

"Within an organisation's credit risk management process,RiskCalc probability of defaults may assist in answering questions such as whether a prospective borrower meets credit underwriting standards, whether the current spread on loans is sufficient to add shareholder value, whetherloans should be kept on or off balance sheet, and determining appropriate capital attribution levels," said Lea Carty, managing director of MRMS.

"RiskCalc UK is a very welcome development. At last there is a publicly-available default probability model, built specifically for the UK, that can be used as abenchmark for our own models and as a common language between buyers and sellers in asset trades,” said Andrew Curtis, head of credit models and measurement, at Barclays CorporateBanking.

Moody's RiskCalc is a global network of locally validated, quantitative credit risk models, which includes proprietary default models for private and publicly traded firms. RiskCalc already serves credit markets in the US, Canada,Mexico, Australia, Japan, Germany, France and Spain. The Netherlands, Austria and Portugal will be covered within the next few months, followed by Italy and Scandinavia.

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