Moody's RiskCalc Model For Privately-Held U.S. Banks
- Topics:
- Commercial Lending
- Tags:
- Bank,
- Finance,
- Financial Accounting,
- Financial Services,
- Financial Statements,
- Financing Startups,
- Moody's Corp.
- Source:
- Moody’s
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Overview: "This article documents RiskCalc for U.S. Banks, Moody’s model for estimating the probability of default (PD) for privately-held U.S. banks, thrifts, and bank holding companies. RiskCalc for U.S. Banks is a robust and validated model that produces one- and five-year PDs. It predicts separate PDs for bank holding companies and bank and thrift subsidiaries. It is based on sound theory and practical modeling and credit experience. The model is econometrically derived, well understood, and sophisticatedly simple, relying on well-established risk factors. By transforming, or “mini-modeling,” the input ratios and then combining them into a multivariate model. Using RiskCalc for U.S. Banks should help improve profitability through the credit cycle, from credit decisioning to pricing to monitoring to securitizing. Clearly, RiskCalc is not intended as a sole measure of overall risk; nevertheless, it should be viewed as a very powerful aggregator of financial statement information into a meaningful and validated number that allows consistent comparison of portfolio risks."
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Format: PDF | Size: 642KB | Date: Jul 2002 | Pages: 28
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