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TABLE OF CONTENTS
MOODY’S KMV RISKCALC v3.1 MODEL 3
1 EXECUTIVE SUMMARY.......................................................................................5 1.1 Strategic Assets of the RiskCalc v3.1 Model............................................................6 2 THE PRODUCT....................................................................................................7 2.1 Strategic Innovations from Combining Our Two Powerful Approaches..................7 2.2 Expanded Data Pool for Predictions.........................................................................8 2.3 Support for Regulatory Requirements.....................................................................9 3 THE MODEL......................................................................................................12 3.1 The Financial Statement Only Mode of the RiskCalc v3.1 Model..........................12 3.2 RiskCalc v3.1: The Complete Version.....................................................................15 3.3 Introducing Industry Variation to the Model...........................................................17 3.4 Further Modeling Improvements............................................................................19 3.4.1. Managing Data Quality...............................................................................19 3.4.2. Alternative Estimation Techniques............................................................22 3.4.3. Extending and Filling In the Default Term Structure................................23 4 MODEL VALIDATION.........................................................................................25 4.1 Model Power and Calibration..................................................................................25 4.2 Validation via Out-of-Sample Data.........................................................................26 4.3 Testing Details.........................................................................................................27 4.4 Model Performance Over the Credit Cycle.............................................................30 5 ECONOMIC VALUE OF RISKCALC V3.1 MODEL POWER DIFFERENTIAL............31 6 SUMMARY AND CONCLUSIONS........................................................................33 7 APPENDIX........................................................................................................34 8 REFERENCES...................................................................................................35
1.1 Strategic Assets of the RiskCalc v3.1 Model............................................................6 2 THE PRODUCT....................................................................................................7 2.1 Strategic Innovations from Combining Our Two Powerful Approaches..................7 2.2 Expanded Data Pool for Predictions.........................................................................8 2.3 Support for Regulatory Requirements.....................................................................9 3 THE MODEL......................................................................................................12 3.1 The Financial Statement Only Mode of the RiskCalc v3.1 Model..........................12 3.2 RiskCalc v3.1: The Complete Version.....................................................................15 3.3 Introducing Industry Variation to the Model...........................................................17 3.4 Further Modeling Improvements............................................................................19 3.4.1. Managing Data Quality...............................................................................19 3.4.2. Alternative Estimation Techniques............................................................22 3.4.3. Extending and Filling In the Default Term Structure................................23 4 MODEL VALIDATION.........................................................................................25 4.1 Model Power and Calibration..................................................................................25 4.2 Validation via Out-of-Sample Data.........................................................................26 4.3 Testing Details.........................................................................................................27 4.4 Model Performance Over the Credit Cycle.............................................................30 5 ECONOMIC VALUE OF RISKCALC V3.1 MODEL POWER DIFFERENTIAL............31 6 SUMMARY AND CONCLUSIONS........................................................................33 7 APPENDIX........................................................................................................34 8 REFERENCES...................................................................................................35
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