The Moody's KMV EDF RiskCalc v3.1 Model Next-Generation Technology for Predicting Private Firm Credit Risk
by Douglas W. Dwyer of Moody's KMV,
Ahmet E. Kocagil of Moody's KMV, and
Roger M. Stein of Moody's KMV
April 5, 2004
Overview: This white paper outlines the methodology, performance, and key economic benefits of the Moody's KMV Expected Default FrequencyTM (EDFTM) RiskCalc model1. A more detailed discussion on the modeling and validation approach can be found in the EDF RiskCalc v3.1 Modeling Methodology document.
The EDF RiskCalc v3.1 model powers the next-generation of default prediction technology for middle market, private firms. With EDF RiskCalc v3.1, Moody's KMV answers an important challenge faced by our customers: "How can we support our decision-making process for extending loans, managing portfolios and pricing debt securities when there is little available market insight into a firm's prospects, as is the case for middle market credits?"
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