Previously, Stein held a number of senior positions at Moody's (NYSE: MCO) including president of Moody's Research Labs, co-head of Research at Moody's KMV
, managing director of the managed funds group at Moody's Investors Service and managing director of research and academic relations globally.
Therefore, they represent the rate at which investment is considered risk-free.) Equation (7) is referred to as the distance-to-default (DD) by Moody's KMV. The larger the number in DD is, the less chance the company will default.
Generally, the starting point for the two iterative methodologies proposed in literature (the maximum likelihood estimation method and the Moody's KMV method) is based on the so-called calibration method (see [3, 5, 31] or ), which finds two unknown parameters (At and a) by solving the system of two equations as follows:
The solution, implemented between mid-2008 and mid-2009, is anchored by Moody's KMV
Portfolio Manager, which Cisco's captive financing arm, Cisco Capital, already used to monitor its loan and lease portfolio.
Jeff Bohn, Managing Director of Research for Moody's KMV said, "The Japanese economy looks much better than it has in more than 15 years." Frank von Seth, CEO in charge of Japanese business for EulerHermes ACI, said, "Estimates suggest a GDP growth of 1.7 percent in 2005--compared with 2.6 percent in 2004.
Bohn pointed out that Moody's KMV's Expected Default Frequency (EDF) for Japan is 0.23 percent, down from about 2 percent four years ago.
, for example, only rotes the companies it does cover up to a 20 percent default rating or 2,000 basis points, but the sub-prime world requires visibility out to a 50 percent default probability or 5,000 basis points range.
Two different credit risk models are used in the analyses, Norges Bank's SEBRA model and the Moody's KMV Private Firm model.
The Moody's KMV Private Firm model predicts the probability of default for large unlisted enterprises, based primarily on market information.
In addition, Moody's KMV
had excellent growth, exceeding our projections at the time of acquisition."
Scoring providers include the traditional data bureaus (e.g., D&B, Experian, Equifax and The Credit Exchange) as well as scoring specialists (e.g., Moody's KMV
Matthias Schoener is currently Director of Business Development at Moody's KMV
and may be reached at Matthias.Schoener@MKMV.com or 415.229.0821.