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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 

  • Data format
    CSV
    HTML
    JSON
    Python
    SQL
    Text
    User Interface
    XML
  • Delivery mechanism
    API
    Deployed/Onsite Servers
    Desktop
    Excel
    FTP
    SFTP
    Website
  • Publishing frequency
    Daily

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.

StarMine Professional

All of the StarMine models are available for delivery via File Transfer Protocol (FTP). The StarMine FTP delivery is also named StarMine Direct in MyRefinitiv for client alerting purposes.
Data Formats:
CSV
Text
Delivery Mechanisms:
FTP
SFTP
Publishing Frequencies:
Daily

Eikon

Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets – delivered in an elegant and intuitive desktop and mobile interface.
Data Formats:
CSV
XML
JSON
User Interface
Python
Delivery Mechanisms:
API
Desktop
Excel
Publishing Frequencies:
Daily

Refinitiv DataScope Select

Refinitiv DataScope Select is a unique platform that offers intuitive, cross-asset and timely access to all of Refinitiv reference and pricing data. Data is delivered by Refinitiv DataScope Select across the following platforms: HTTP/HTTPS, FTP/SFTP and API.
Data Formats:
CSV
HTML
Delivery Mechanisms:
FTP
Website
API
SFTP
Publishing Frequencies:
Daily

Refinitiv Quantitative Analytics

Refinitiv Quantitative Analytics – a powerful, scalable platform to manage, maintain and integrate quantitative analysis and investment data.
Data Formats:
SQL
Delivery Mechanisms:
Deployed/Onsite Servers
Publishing Frequencies:
Daily

Workspace

Refinitiv Workspace delivers a powerful combination of information, analytics and exclusive news on financial markets – delivered in an elegant and intuitive desktop and mobile interface.
Data Formats:
CSV
XML
JSON
User Interface
Python
Delivery Mechanisms:
API
Desktop
Excel
Publishing Frequencies:
Daily

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