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CreditVantage launches US probability of default model

23 January 2004  |  1029 views  |  0

CreditVantage is pleased to announce the launch of the CRS Corporate PD Model, its new probability of default (PD) tool. Initially the model will be applicable for North America with coverage of additional countries to be added over the course of 2004.

The CRS Corporate PD Model is designed to assess default probabilities over time. It is unique in that the drivers shift according to the time period of the analysis, increasing the accuracy for periods from one-to-five years. There are versions for both private and public firms ranging from small and medium sized enterprises (SMEs), as well as large corporates.

"The CRS Corporate PD Model is appropriate for use with both buy and hold assets, as well as those in a trading book because it accounts for the fact that the drivers of credit quality change over different time horizons," said Colin Farquhar, Senior Vice President, CreditVantage. "For example, public equity market information, while highly predictive over the short-term, diminishes in importance when analyzing longer term credit quality. That is why, for public companies, we supplement equity market data with financial statement information."

"Our 2004 development schedule reflects the growing needs of our client-base,' said David Kelson, Managing Director, CreditVantage. "Our new PD Model complements our existing rating models and is the first of a host new solutions under development to be released this year."

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