More NewsMoody’s Releases First Default Loss Model

Moody's Releases First Default Loss Model

Moody’s Risk Management Services announced a new product, LossCalcTM, that predicts recovery rates for debt instruments that have defaulted. Moody’s LossCalc is an extension and enhancement of Loss Given Default (LGD) research that Moody’s has conducted and published for over ten years, aiding market participants in predicting the extent of losses that might be suffered by investors with defaulted debt obligations. Loss given default is an estimate of the loss a creditor will incur if the borrower of a loan or the issuer of a bond defaults. It is an important component in determining the prices of financial instruments such as bonds, loans, and derivatives and it is essential for credit risk management. Unlike traditional approaches, LossCalc incorporates macroeconomic information, industry, and firm-specific data. LossCalc produces estimates at both the immediate and the one-year time horizons. This allows LossCalc to be usedover a range of debt maturities.

Related Articles

Infosys Finacle to power Santander UK’s international cash management system

More News Infosys Finacle to power Santander UK’s international cash management system

3w The Global Treasurer
Preparing for GDPR? Here’s four things to consider

More News Preparing for GDPR? Here’s four things to consider

4m Elliott Wiseman
Cash flow in focus for investors

Cash Management Cash flow in focus for investors

5m Conor Deegan
Treasury TV: Karen Pugsley, Domino's Pizza Group

More News Treasury TV: Karen Pugsley, Domino's Pizza Group

5m Victoria Beckett
Treasury TV: Yeng Butler compares US and European MMF reforms

Compliance Treasury TV: Yeng Butler compares US and European MMF reforms

5m Victoria Beckett
Treasury TV: Tim de Knegt, The Port of Rotterdam

10 Minutes With The Treasury Treasury TV: Tim de Knegt, The Port of Rotterdam

5m Victoria Beckett
Banks are selling clients short with short dated cash deposit U-turns

Banking Banks are selling clients short with short dated cash deposit U-turns

5m Victoria Beckett
What does sterling’s Brexit boost mean for UK manufacturers?

More News What does sterling’s Brexit boost mean for UK manufacturers?

6m Tasja Botha