stand-alone credit risk measures

Moody’s KMV RiskCalc® enables greater precision and accuracy in evalu-

ating private firm credit risk by combining financial statement and equity
MOODY’S KMV riskCALC 3.1 market-based information.
CANADA

MARKET CHALLENGE: ASSESSING PRIVATE FIRM CREDIT RISK POWERING MOODY’S KMV RISKCALC 3.1: THE WORLD’S LARGEST AND
CLEANEST PRIVATE COMPANY DEFAULT DATABASE
PRODUCT HIGHLIGHT
Institutions are faced with an ever-increasing demand to quantify
private firm credit risk to better manage risks and avoid losses. This Moody’s KMV RiskCalc 3.1 utilizes the Moody’s KMV CRD®
demand comes not only from regulators and shareholders, but also (Credit Research Database), the world’s largest and cleanest
from internal risk managers seeking to maximize their institutions’ collection of data on private companies. Built in partnership with
return on risk. over 45 financial institutions around the world, the CRD contains
13 million financial statements on 2.5 million firms and over
MOODY’S KMV RISKCALC 3.1: FUNDAMENTALLY CHANGING THE MIDDLE- 200,000 private company defaults.
MARKET CREDIT PROCESS
Moody’s KMV RiskCalc 3.1 enables users to accurately characterize moody’s kmv riskcalc network
the credit risk of thousands of private companies in minutes Private company credit risk drivers differ between countries. Moody’s
for faster loan underwriting decisions and efficient monitoring KMV RiskCalc combines private firm data with local knowledge
of portfolio credit trends. Armed with this solution, credit risk of default drivers in different countries to build a global network of
professionals can focus their resources on loans with the greatest models that covers approximately 80% of the world’s GDP.
risk. In addition, accurate default probabilities provide a common
Version 3.1:
metric for communicating with regulators and internal staff.
■ Canada ■ Japan ■ United States
THE MARKET STANDARD: MOODY’S KMV EDF CREDIT MEASURES ■ France ■ Nordic ■ U.S. Banks
Moody’s KMV EDF™ (Expected Default Frequency) credit ■ Germany ■ South Africa
measures are actual probabilities of default; they lend themselves ■ Italy ■ United Kingdom
to precise decision-making and can be incorporated into valuation Version 1.0:
and portfolio models. Built from over 15 years of experience with
■ Australia ■ Korea ■ Portugal This graph shows the relative contribution scores of the most
market and fundamental data modeling, EDF credit measures have
■ Austria ■ Mexico ■ Spain important drivers for a particular firm’s EDF credit measure.
been extensively validated on defaults and have become the market
■ Belgium ■ Netherlands
standard for lenders and investors.
MOODY’S KMV riskCA LC
moody’s kmv riskCALC 3.1
CANADA

MOODY’S KMV RISKCALC CANADA 3.1 SPECIFIC CALIBRATION TO THE CANADIAN ECONOMY
KEY PRODUCT FEATURES
The model characterizes the credit risk of private companies by Moody’s KMV RiskCalc Canada 3.1 reflects the business
■ A network of country-specific models developed and tested on incorporating financial statement data and equity market-based environment of Canada, including accounting practices, tax
local private firm data to capture local default risk factors information to produce EDF credit measures that reflect factors and bankruptcy laws. The EDF credit measures produced are
unique to the business environment of Canada. This blending of globally comparable yet reflect these local factors.
■ Calculates highly predictive EDF estimates over any horizon
information results in superior predictive power that enables the
between one and five years EXTENSIVE CANADIAN DATASET
user to limit defaults and enhance profitability.
■ Displays valuable ratio diagnostics and their individual Moody’s KMV RiskCalc Canada 3.1 was developed and
contributions to risk FUNDAMENTAL DATA FROM FINANCIAL STATEMENTS validated using 44,325 financial statements from over 11,339
Moody’s KMV RiskCalc Canada 3.1 utilizes financial ratio private Canadian companies, excluding financial institutions,
■ Captures the impact of changes in the credit cycle on EDF
variables based on their ability to predict corporate defaults state-owned companies, non-profits and real estate developers.
credit measures
through actual market-based relationships. The model transforms In addition to industry specific information for sector
■ Updates credit cycle adjustment information on a these variables to accurately predict default probabilities. analysis, the dataset includes financial statement and default
monthly basis data from 1989 to 2002, on firms ranging in size from $0.5
ACTIVITY LEVERAGE
■ Built on an unparalleled range of private company data ■ Inventory to Sales ■ Leverage Ratio million (CAD) up to the largest, private Canadian companies.
■ Maps EDF credit measures to internal and agency ratings ■ Change in AR Turnover ■ Retained Earnings to CREDIT CYCLE ADJUSTMENT BY INDUSTRY
Current Liabilities to Sales Current Liabilities
■ Illustrates the sensitivity of a company’s EDF to changes in ■
Moody’s KMV RiskCalc Canada 3.1 EDF credit measures
various inputs PROFITABILITY SIZE are adjusted for the current stage of the credit cycle, allowing
ROA Total Assets
the user to determine the susceptibility of a firm to an
■ ■
■ Supports stress testing through economic cycles
■ Change in ROA
economic downturn.
■ Adjusts for unique industry differences DEBT COVERAGE LIQUIDITY
■ Supports XML integration with client applications ■ Cash Flow to ■ Cash and Marketable
Current Liabilities Securities to Assets
■ Allows batch processing for the efficient rating of an
GROWTH
 For extended details on this product, please
entire portfolio ■ Sales Growth visit the Moody’s KMV product page:
www.moodyskmv.com/products

MOODY’S KMV riskC A LC

To Learn More:
Contact your Moody’s KMV Client Representative or call:
from north and south america from europe, the middle east and africa from asia, new zealand, australia and india
+1 (866) 321-MKMV (6568) or +1 (415) 874-6000 +44 (0) 20 7280 8300 +81 (3) 3218-1160

Visit Moody’s KMV online: E-mail Moody’s KMV:

www.moodyskmv.com info@mkmv.com

COPYRIGHT ©2006 MOODY’S KMV COMPANY. MOODY’S KMV, MOODY’ S KMV RIS KCALC AND MOODY’S KMV EDF AR E TRADEMARKS OF MIS QUALITY MANAGEMENT CORP OR ATION USED UNDER RC CA N 1006
LICENS E. ALL RIGHTS RESERVED.