RiskCalc for Private Companies: Moody's Default Model

Eric G. Falkenstein, Andrew Boral, Lea V. Carty
2000 Social Science Research Network  
This report describes and documents Moody's version of its RiskCalc TM default model for private firms. RiskCalc TM analyzes financial statement data to produce default probability predictions for corporate obligors -particularly those in the middle market. We discuss the model's derivation in detail, analyze its accuracy, and provide context for its application. The model's key advantage derives from Moody's unique and proprietary middle market private firm financial statement and default
more » ... ase (Credit Research Database), which comprises 28,104 companies and 1,604 defaults. Our main insights and conclusions are:
doi:10.2139/ssrn.236011 fatcat:swew6zlhtjfvvixycerfnpliji