NEW YORK, Oct. 28, 2013 /PRNewswire/ -- S&P Capital IQ, a leader in multi-asset class and real time data, research and analytics, has announced the development of newly calibrated models to provide point-in-time, short to mid-term, and long-term measures of credit risk for all non-financial corporates and financial institutions across the globe. The models are designed to identify weakening credit, and help users strengthen their surveillance process for both rated and unrated entities. The global database from S&P Capital IQ includes over three million private companies, almost 50,000 listed companies, and over 730,000 companies with financials.
The point-in-time measure of credit risk helps identify weakening credit profiles via daily changing credit risk indicators based on market signals such as credit default swap (CDS) spreads or stock price volatility. For short to mid-term measures of credit risk, another suite of models evaluate the probability that an entity will not meet its obligations in the next one to two years with probabilities of default (PD). For long-term views of credit risk with a horizon of around three to five and up to ten years, a proprietary series of industry and region-specific quantitative scoring models generate stable assessments of creditworthiness that are aligned with the Standard & Poor's Ratings Services methodology.
"Our quantitative models leverage both fundamental data and/or market driven factors to provide perspectives on credit risk with different time horizons both for rated and unrated companies. With this powerful suite of credit risk measures, our clients can assess the long-term risk of their most important business partners or clients and detect early warning signals in the short-term in one go for their entire portfolio," said Marcel Heinrichs, Director of Market Development at S&P Capital IQ.
Mr. Heinrichs added that the models were developed on data from the last ten years to cover a full economic cycle. The models produce either probabilities of default (such as .68%) or credit scores (ranging from "aaa" to "c" for companies not in default). Every probability of default model maps to credit scores, while all models that primarily produce a credit score, map to probabilities of default. "We serve the needs of all our clients, both those with the mindset of a quant, who needs an absolute measure of risk for daily risk measures and for those with the mindset of a fundamental credit risk analyst, who favors letter grades as a relative measure of risk," said Mr. Heinrichs.
Clients can get the credit risk indicators or access to the models for in-depth sensitivity analysis and stress-testing of any entity in their portfolio from the S&P Capital IQ platform, Excel Plug-in, our flagship data feed, Xpressfeed, and the S&P Capital IQ API, for a seamless integration into our customers' workflow.
"Commercial lenders, non-financial corporations, investment managers, and insurance underwriters are among the users of these models," according to Mr. Heinrichs. "Making faster and more informed credit decisions is now more important than ever before."
About S&P Capital IQ
S&P Capital IQ, a part of McGraw Hill Financial (NYSE-MHFI), is a leading provider of multi-asset class and real time data, research and analytics to institutional investors, investment and commercial banks, investment advisors and wealth managers, corporations and universities around the world. Evaluated pricing is prepared by Standard & Poor's Securities Evaluations, Inc., a part of S&P Capital IQ and a registered investment adviser with the U.S. Securities & Exchange Commission. S&P Capital IQ provides a broad suite of capabilities designed to help track performance, generate alpha, and identify new trading and investment ideas, and perform risk analysis and mitigation strategies. Through leading desktop solutions such as the S&P Capital IQ, Global Credit Portal and MarketScope Advisor desktops; enterprise solutions such as S&P Capital IQ Valuations; and research offerings, including Leveraged Commentary & Data, Global Markets Intelligence, and company and funds research, S&P Capital IQ sharpens financial intelligence into the wisdom today's investor's need. For more information, visit: www.spcapitaliq.com.
SOURCE S&P Capital IQ