KMV enhances Portfolio Manager analytics

- Sarfraz Thind
- 21 Mar 2003

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LossCalc predicts recovery rates for debt instruments that have defaulted, based on estimations of loss-given default (LGD) – the amount a creditor will lose if a borrower defaults - that are validated against Moody's KMV's proprietary database of default and recovery information. LossCalc is aimed at commercial banks, insurance companies, corporations and asset managers with corporate credit exposure.

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.

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