When it comes to assessing credit risk, the biggest concerns have always been bankruptcy and default. Measuring the risk of default in a credit portfolio can be a daunting and time-consuming task. Now Moody's KMV, a wholly owned subsidiary of Moody's Corp., is offering two new tools to make the job a whole lot easier.

For several years, Moody's KMV has been offering a set of tools called Portfolio Manager, which can collect data from corporate financial statements and calculate default probability. Later this year, Moody's plans to release a next-generation Portfolio Manager tool. The company says this upgraded product will include scenario analysis and stress testing. Instead of being Windows-based, the new version of PM will be Internet-based with XML-enabled components. This, the company says, will eliminate the need for substantial investment in core risk engines. "This set of tools will do three things," says Jeff Bohn, head of research and credit strategies at Moody's. "[It] collects data from financial statements, provides a single-borrower risk assessment and [correlates] risk across a portfolio."

The upgraded PM tool will also enable users to do strategic and tactical asset allocation across various asset classes, including corporate loans, corporate bonds, equities, sovereigns, commercial real estate, retail exposure and CDO tranches, the company says.

Complete your profile to continue reading and get FREE access to Treasury & Risk, part of your ALM digital membership.

  • Critical Treasury & Risk information including in-depth analysis of treasury and finance best practices, case studies with corporate innovators, informative newsletters, educational webcasts and videos, and resources from industry leaders.
  • Exclusive discounts on ALM and Treasury & Risk events.
  • Access to other award-winning ALM websites including PropertyCasualty360.com and Law.com.

© 2024 ALM Global, LLC, All Rights Reserved. Request academic re-use from www.copyright.com. All other uses, submit a request to [email protected]. For more information visit Asset & Logo Licensing.