RiskMetrics Group has launched a new equity-based model to assess the credit quality of publicly traded companies. The model has been endorsed by Deutsche Bank, Goldman Sachs and JPMorgan.
CreditGrades provides indicative credit spreads based on observable market quantities such as equity price history and balance sheet information and a standard set of model assumptions.
Users are provided with online access to daily CreditGrades for approximately 5000 public firms in North American and Europe. The new product includes monitoring and model sensitivity functionality, as well as technical documentation.
Deutsche Bank, Goldman Sachs and JPMorgan have endorsed the product to promote price transparency and create greater market depth and efficiency through an open set of tools.
Andrew Palmer, a vice president and head of North American credit derivatives marketing, JPMorgan, says: "In addition to providing additional transparency to the market, we hope CreditGrades will supply greater access to price information, augment risk monitoring, and facilitate the investigation of opportunities through the relationships between the equity and credit markets."
RiskMetrics Group will market the historical CreditGrades data as part of its DataMetrics service and will integrate CreditGrades into CreditManager and RiskManager, its Web-based credit and market risk management applications.