Moody’s to launch RiskCalc for Japanese firms

The risk management unit of international rating agency Moody's has completed the development of its RiskCalc model for estimating probability of default for Japanese private companies.

Moody's RiskCalc Japan, to be released in January 2002, is a model for estimating the probability of default on obligations of non-financial Japanese private companies.

The Japanese service is an addition to the Moody's RiskCalc network of quantitative credit risk models for public and private firms. The agency claims this is an important step in its development of a globally consistent network of locally validated risk assessment models. The new model is also intended to be compliant with the principles outlined in the new capital Accord for internationally active banks, dubbed Basel II.

The model was developed by Moody's Risk Management Services (MRMS), using loan default and financial data from Japanese markets to provide a credit risk assessment that banks, asset managers, and other financial institutions will be able to use in loan underwriting and other obligor credit evaluations.

"The model is expected to stimulate growth in the new collateralised loan obligation market of private firm loans," said Naoki Yamauchi, managing director of structured finance, Moody's Japan. He added that the agency is establishing methods to use Moody's RiskCalc in its rating process in order to benefit the loan market for private Japanese firms.