 |
|
|
Portfolio Credit Risk Measurement |
|
|
|
|
|
|
|
|
|
|
|
|
 |
|
DealAnalyzer |
|
|
|
|
|
|
|
Learn More |
|
|
|
Download DealAnalyzer Fact Sheet (PDF/217KB) |
|
|
|
|
|
|
Contact Us |
|
|
|
Contact Us today to see why Moody's KMV is the right choice.
|
|
|
|
|
|
 |
 |
|
DealAnalyzer® provides loan originators and credit decision makers with quick and simple access to Moody's KMV Portfolio Manager™ analytics to accurately assess the risk adjusted return of new loans.
The best way to initiate active management of a loan portfolio is to analyze the risk and return contribution of new loans before they enter the portfolio. Many institutions use risk-adjusted return on capital (RAROC) tools to perform this analysis at the time of loan origination. However, these tools often fail to fully consider correlation effects and tend to place all borrowers in a limited number of risk categories.
Moody's KMV DealAnalyzer: Bringing Portfolio Management Technology To Loan Originations
DealAnalyzer helps lending institutions improve their assessment of new deals by using the industry-leading methodology of Moody's KMV Portfolio Manager to consider the impact of correlations and Moody's KMV EDF™ (Expected Default Frequency) credit measures. DealAnalyzer brings the full sophistication of Portfolio Manager to the loan origination function, delivering risk/return calculations in the short-time frames demanded by a fast-paced environment.
Moody's KMV DealAnalyzer: Available In Two Analytical Configurations
Standard DealAnalyzer implements Portfolio Manager's analytical approximation of capital, an efficient calculation approach that has been the proven analytic core of DealAnalyzer since its introduction.
Enhanced DealAnalyzer adds the option of performing a very rapid Monte Carlo simulation on incremental deals. It adds capital estimates based on simulated risk contribution and simulated tail risk contribution. Enhanced DealAnalyzer also assesses the risk and return of exposure profiles, which are credit risk profiles from derivatives or other transactions that cannot be modeled as simple loans.
Moody's KMV DealAnalyzer Offers:
- Real-time, active portfolio management in the origination process
- Forward-looking measurements that reflect market expectations
- Quantification of loan risk in the context of a portfolio
Risk/Return Analytics
For each deal (which may be a single loan or basket of loans), DealAnalyzer provides:
- Required spread and deal valuation at the time of origination
- Capital allocation for each loan
- Return calculations reflecting capital allocation for each loan
- Statistics characterizing the risk (expected loss, unexpected loss, risk contribution and tail risk contribution) of each loan
Accurate Input To Improve Credit Decisions
- Full Portfolio Manager analytics are applied to new deal origination
- Deal assessment explicitly considers correlation effects
- Highly granular deal assessment using EDF credit measures
- Powered by Portfolio Manager's analytic and simulation engines to produce consistent, comparable results
Rich Data Set
Proper assessment of a new deal requires information on the deal structure as well as portfolio characteristics. DealAnalyzer explicitly considers factors relevant to this assessment, utilizing a comprehensive data set that includes:
- Terms and conditions for the deals to be analyzed
- Borrower EDF credit measures, R-squared measures, industry and country weights, and recovery assumptions
- Characteristics of the Portfolio Manager reference portfolio, including holdings and risk statistics
|
|
|
|
