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- StarMine Structural Credit Risk Model
An overview of StarMine Structural Credit Risk Model
StarMine Structural Credit Risk Model (SCR) evaluates the equity market’s view of credit risk via StarMine’s proprietary extension of the structural default prediction framework, introduced by Robert Merton that models a company’s equity as a call option on its assets. The default probabilities are also mapped to letter ratings and ranked to create 1-100 percentile scores.
StarMine’s research has identified the drivers of the structural model framework and improved the traditional framework by:
- Leveraging StarMine’s equity alpha model expertise by incorporating the Value-Momentum model in the drift rate formulation.
- Systematically optimizing the formulations for default point and volatility. For example, by using different treatment of balance sheet liabilities for banks and insurance companies.
- Creating a closed-form solution for the model equations, thereby eliminating erroneous outputs inherent to most structural model frameworks that solve simultaneous non-linear equations numerically.
Key Facts
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Geographical coverageGlobal
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HistoryFrom 1998
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Data formatCSVDelimitedGZIPJSONPythonSQLTextUser InterfaceXMLZip Archive
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Delivery mechanismAPIDeployed/Onsite ServersDesktopExcelFTPSFTP
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Data frequencyDaily
Features & Benefits
What you get with StarMine Structural Credit Risk Model
- The SCR model is considerably more accurate at predicting defaults than the Altman Z-score or a basic Merton model.
- Assesses equity market’s view of credit risk.
- SCR probability of default equates to the probability that the option expires worthless.
How it works
Accessing the dataset
This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.
Eikon
- Data Formats:
- CSV
- XML
- JSON
- User Interface
- Python
- Delivery Mechanisms:
- API
- Desktop
- Excel
- Service Frequencies:
- Daily
Refinitiv DataScope Select
- Data Formats:
- CSV
- XML
- Zip Archive
- GZIP
- Delimited
- Delivery Mechanisms:
- FTP
- API
- SFTP
- Service Frequencies:
- Real time
Refinitiv Quantitative Analytics
- Data Formats:
- SQL
- Delivery Mechanisms:
- Deployed/Onsite Servers
- Service Frequencies:
- Intraday snapshot
- Daily
Workspace
- Data Formats:
- CSV
- XML
- JSON
- User Interface
- Python
- Delivery Mechanisms:
- API
- Desktop
- Excel
- Service Frequencies:
- Real time
- Real time delayed
DETAILED DATA SUPPORT
Request details
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