Fri, Oct 03, 2003
The RISConsulting Group LLC
(RISC), a transactional consulting firm specializing in complex
risk, announces the introduction of two new models to
AircraftRisk.com (www.aircraftrisk.com),
its aircraft finance industry website.
The revised EETC Model is designed to assist investors in
performing analysis of over 50 preprogrammed EETC issues and is
available in deterministic and stochastic versions. The
deterministic version allows the user to enter an individual
scenario by specifying various
assumptions (e.g., aircraft valuations, interest rates, performing
asset designation and liquidation timing – in the case of
default). The model then generates output that reflects the
financial impact (e.g., losses and returns) to the various tranches
for the specified scenario. The stochastic version of the EETC
model automatically generates properly correlated values for all of
the key assumptions in order to develop a probabilistic
distribution of issue results (e.g., losses and returns).
The new Aircraft Loan Model is designed to support the analysis
of user-specified loans that are secured by any of over 70
different types of commercial aircraft. To use this model, the user
must enter a description of the loan to be evaluated, such as
principal amount, amortization schedule, credit rating of the
borrower, type and year of build of the collateral aircraft, and
choice of appraiser. The Aircraft Loan Model then combines
rigorous, properly correlated stochastic analyses of borrower
default and of underlying aircraft market values to estimate the
full distribution of potential outcomes for the loan specified.
Model output includes:
- An analysis of loan principal at risk (i.e., potential credit
losses) over time,
- An analysis of losses given default,
- A presentation of model-generated credit (loan) risk in rating
equivalent terms,
- An analysis of expected losses, and
- An estimate of capital required at any specified confidence
interval.
RISC’s modeling methodology incorporates strict scientific
analytical disciplines as well as input
from clients, industry, academia, rating agencies, insurance
underwriters and actuaries. By
relying on RISC’s modeling process, AircraftRisk.com models
should prove valuable aids not
only to traders and investors, but also to those involved in
valuing and risk assessing assets for
reserving and risk-based capital estimation.
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