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Portfolio Credit Risk Measurement |
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DealAnalyzer |
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Learn More |
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Download DealAnalyzer Fact Sheet (PDF/217KB) |
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Contact Us |
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Contact Us today to see why Moody's KMV is the right choice.
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DealAnalyzer application provides loan originators and credit decision makers with quick and simple access to RiskFrontier 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.
DealAnalyzer Solution: Bringing Portfolio Management Technology to Loan Originations
DealAnalyzer application helps lending institutions improve their assessment of new deals by using the industry-leading methodology of RiskFrontier to consider the impact of correlations and EDF™ (Expected Default Frequency) credit measures.
DealAnalyzer application brings the full sophistication of RiskFrontier to the loan origination function, delivering risk/return calculations in the short-time frames demanded by a fast-paced environment.
DealAnalyzer engine performs a rapid Monte Carlo simulation on incremental deals. It calculates capital estimates based on simulated risk contribution and simulated tail risk contribution. DealAnalyzer engine 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.
DealAnalyzer Solution 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
solution 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 RiskFrontier analytics are applied to new deal origination
- Deal assessment explicitly considers correlation effects
- Highly granular deal assessment using EDF credit measures
- Powered by RiskFrontier 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 approach 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 RiskFrontier reference portfolio, including holdings and risk statistics
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