Probing the Dependence Between Default Probability and Loss Given Default

Presented: August 2nd, 2005

Speakers: Greg Gupton, Moody's KMV and David Smith, Insightful Corporation

Listen to the archived webcast.

Resources:

• Presentation Slides [PDF]
• Links to Papers and Research
  • Moody's How to calculate "Distance-to-default" [PDF]
  • Moody's LGD research (LossCalc)
  • Moody's credit risk modeling research
• Credit Risk Links
  • http://www.moodyskmv.com
    
  • http://www.defaultrisk.com
• S-PLUS Customer Examples:
  • Swiss Union of Raiffeisen Banks: Archived Web Cast Risk Management in Retail Banking
    
  • Lipper: Multimedia presentation
    
  • Time Warner: Multimedia presentation
    
• Product Information
  • S-PLUS 7
    
  • S-PLUS 7 Enterprise Server
    

Using S-PLUS® 7 Enterprise Developer, Moody's KMV has been able to analyze a long standing problem that has both a deficiency of financial institutions' credit risk management systems and an imperative of international regulation by BASEL. Portfolio managers have long known that recoveries on defaulted instruments are commonly at their worst during times when the frequency of defaults is at its peak. Such "double whammy" behavior imperils the solvency of lending institutions and is an active concern of bank regulators internationally. Quantitative risk models to date do not deal with this correlation in anything better than some ad hoc way. We at Moody's KMV have now quantified this correlation and its driving factors using leading edge analytical tools.

In addition, David Smith, Senior Product Manager at Insightful will provide a short introduction to S-PLUS 7 and its pipeline architecture for reading, manipulating and analyzing very large data sets, and how it can be used to deploy statistical analysis across the enterprise.

Presenter Information

Greg M. Gupton is a Senior Director of Research at Moody's KMV, a subsidiary of Moody's Corporation. His website, DefaultRisk.com, is a leading resource for quantitative credit risk modeling and management. At Moody’s KMV he authored the first security-level LGD forecasting model, LossCalc™. Beyond LGD, his current research projects include EaD, Asset Volatility, and Validation/Calibration of default models.

Mr. Gupton received a B.A. in Accounting from the University of Washington, and a M.S. in Industrial Administration from Carnegie-Mellon University. He began his career with JP Morgan in 1984 and joined Moody's Investors Service in 2000; Moody's acquired KMV in 2002.

Moody's KMV is a constituent company within the Moody's Investor Services Group, the world's leading independent provider of credit ratings, financial information, and research to global capital markets.

Moody's KMV is the leading provider of market-based quantitative products and solutions for analyzing and managing credit risk for both private and public companies. The company maintains the largest database of corporate defaults in the world and links this data with corporate performance data, in integrated decision-making products.

For further details on Moody's KMV, please visit: www.moodyskmv.com.