RiskCalc is the premier private firm probability of default model. RiskCalc enables greater accuracy, consistency and
efficiency than other commercially available models and internal bank models when evaluating privately held firms.
RiskCalc produces a forward-looking default probability (called expected default frequency, or EDFTM) by combining
financial statement and equity market information into a highly predictive measurement of stand alone credit risk.
RiskCalc consists of a global network of 25 models that cover approximately 80% of the world's GDP.
Credit Risk Challenge: Measuring Private Firm Credit Risk
Institutions are faced with an increasing demand to quantify private firm credit risk. This demand comes from
shareholders seeking to maximize their return on risk and from regulators requiring adequate capital levels.
Developing accurate and consistent default models for global private portfolios is a significant challenge due to
data limitations and constraints on internal resources.
Measure Private-Firm Credit Risk Accurately, Efficiently and Consistently
RiskCalc’s robust analytics and broad coverage has made it the
private-firm model of choice among the world’s leading banks,
corporations, and asset managers. It is considered worldwide
as the preferred model for:
- Efficiently screening obligors at origination
- Early detection of credit deterioration
- Accurately and consistently pricing credit risk
- Monitoring and benchmarking exposures or investments
- Basel II compliance
Key RiskCalc Features
- Comprised of a network of country-specific models developed and tested on local private-firm data to capture local default risk factors
- Can be used either as a stand-alone probability of default(PD) model, an input to an internal PD model or as a benchmarking tool
- Can be easily accessed via the website, through XML or RiskAnalyst™, Moody’s Analytics’ dual rating credit scoring platform
- Produces EDF credit measures from one through five years
- Maps EDF credit measures to agency ratings
- Uses intuitive and commonly used financial ratios such as leverage, profitability, debt coverage, liquidity, etc.
- Adjusts for unique industry differences
- Captures the impact of credit cycle changes from month-to-month in the period between two financial statements
- Displays valuable ratio diagnostics and their individual contributions to risk
RiskCalc’s Unique Advantage: The World’s Largest and Cleanest Private Company Default Database
The predictive power of RiskCalc is based on Moody’s Analytics CRD. Built in partnership with over 45 leading financial institutions around the
world, the CRD contains 27 million financial statements on 5.6 million firms and over 500,000 private company defaults, yielding unique insight
into private firm default probability.
RiskCalc’s Global Presence: Network of 25 World-Class Models
The RiskCalc network is comprised of unique models covering:
- Americas: USA, Canada and Mexico country models, plus U.S. Insurance, U.S. Banks and North America Large Firm
- Europe, Middle East and Africa: Austria, France, Netherlands, Nordic (Denmark, Norway, Sweden, Finland), Portugal, Spain, UK, Germany, Belgium, Italy, South Africa, Switzerland
- Asia Pacific: Japan, Korea, Australia, Singapore
Moody's KMV RiskCalc Global Network
Please click on a country name in the below tables to view the respective Moody's KMV RiskCalc Model Fact Sheet. All files are in PDF format.
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