Insightful Tools and Data.
CreditSights Risk Products provides quantitatively-based assessments of credit risk updated daily for more than 40,000 companies globally, enabling you to avoid defaults, anticipate rating transitions, and identify trading opportunities and areas of concern.
CreditSights Risk Products draws upon the best aspects of equity-style (‘Merton’) models and fundamentally derived (‘Altman’) models. That ensures that the models are timely, extracting salient information from the equity market without being excessively sensitive to the swings in share prices.
By leveraging the industry expertise of our team of 100+ fundamental analysts, the models are optimized for each sector and geography, and the input data is of the highest quality.
20
Sector Models
20+
Years of Data
40,000+
Companies Covered
Our Methodology
Risk Products leverage metrics that are relevant to each issuers’ industry using fundamental and equity market information to drive our models; we enforce objectivity by maintaining broad consistency across sectors and regions. We then combine these multiple data inputs to produce our three cornerstone outputs:
1) Credit Risk Estimate (CRE):
A near-term risk model that produces a 1-year forward probability of default.
2) Credit Quality Score (CQS)
A medium-term assessment of credit risk that has proven to be an effective leading indicator of agency rating action. The CQS is a score between 0 and 100. The higher the CQS, the higher the medium-term credit quality of the company. Values of CQS above 50 generally indicate investment grade credit quality, while values below 50 are associated with high yield credit quality.
3) Fallen Angel Score (FAS)
A predicted likelihood of a BBB-rated issuer being downgraded to high yield over the next 12 months.
CreditSights Risk Products Enables Credit Professionals To:
Manage Portfolio Risk:
- Anticipate rating transitions, such as fallen angels & rising star candidates
- Monitor and act upon portfolio and issuer metrics
- Instantly review new debt issuers
- Identify and avoid potential defaults
- Compare individual names vs. peer groups (by market, industry and rating)
Create Workplace Efficiencies:
- Easily create and monitor multiple watchlists/portfolios
- Use our Dashboard to spot trends and concentrations in credit risk within your portfolio and drill down to view underlying issuers
- View detailed company pages that display current and historical risk data for credit issuers
- Filter our global database for names that meet specific criteria such as by rating, region, industry and risk
- Receive email alerts on material changes in model outputs on target names
- Use our API, Excel-add-in and data downloads to integrate data into your own tools.
Case Studies
CREDIT QUALITY SCORE
CreditSights Risk Products Credit Quality Score (CQS) provides signals to investment grade bond holders of possible impending downgrades to high yield enabling them to reduce exposures in advance. Likewise indications of an upgrade can highlight investment opportunities.
Macy’s:
Here we see both examples with Macy’s. The CQS signaled the 2020 downgrade of Macy’s corporate credit rating from investment grade to high yield more than a year in advance, and then also indicated both the 2021 and 2022 upgrades approximately 6 months in advance.
CREDIT RISK ESTIMATE
CreditSights Risk Products Credit Risk Estimate (CRE) is a one-year forward estimate of default probability. Banks and Asset Managers use the CRE to identify potential defaults in their portfolios enabling them to take action well in advance.
Hornbeck Offshore Services:
In this example the CRE showed a marked uptick for Hornbeck Offshore Services well in advance of initial ratings descent in 2016, followed by a dramatic increase in the default probability more than a year in advance of the company’s final ratings decline and actual default.
Learn More
Risk Products was designed for the credit professional, providing the ability to effectively monitor large credit portfolios while also generating new investment ideas. Discover a comprehensive range of risk solutions that empower you to confidently navigate the intricate landscape of financial risk. We stand as your trusted ally, equipping you to understand, manage, and mitigate risk effectively. Reach out to us learn more.
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PROVEN RESULTS
DEFAULT PREDICTION
Credit Risk Estimate, Risk Products’ estimated one-year forward probability of default an accuracy of 94% in predicting corporate defaults one year ahead.
AGENCY RATING TRANSITIONS
Credit Quality Score, Risk Products’ medium-term assessment of credit risk has proven to be an effective leading indicator of agency rating actions, anticipating 89% of ratings downgrades.
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