Banc of America Securities and S&P team for market-based credit risk tools
09 May 2003 | 3460 views | 0
Banc of America Securities (BAS) is partnering Standard & Poor's Risk Solutions to develop a suite of quantitative credit risk analytic tools based on the credit option adjusted spread (COAS) model.
In addition to collaborating around data acquisition for the model, Risk Solutions will work with BAS to develop mark-to-market risk measurement of the COAS model to Standard & Poor's credit ratings.
Jeffrey Rosenberg, head of credit strategy and the COAS development team, Banc of America Securities, says the COAS model provides a forward looking estimate of risk and return, bringing transparency to the credit markets.
"This system is designed to be much more sensitive to the market signals and sentiments than any other available model," says Rosenberg.
Standard and Poor's Risk Solutions says market-based tools can represent an important supplement to the credit risk analysis process.