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The Resource for the Global Finance Profession

AFP Counterparty Risk Data

To evaluate the creditworthiness of the companies with which you may do business and to identify emerging trends in counterparty credit risk, AFP members may now access data on selected companies from Thomson Reuters StarMine Quantitative Models.

  • SmartRatios Credit Risk Model - Provides a view of a company's credit condition and financial health by analyzing a wide array of accounting ratios that are predictive of credit risk. This model groups various accounting ratios, along with industry-specific metrics, into five components: profitability, liquidity, leverage, coverage and growth, which are combined in a logistic regression framework. Read the overview.

  • Structural Credit Risk Model - 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. It improves upon three primary components of the Merton model framework based on quantitative analysis of historical data: leverage, asset drift and volatility. Read the overview.

The SmartRatios Credit Risk Model and Structural Credit Risk Model below are part of the StarMine Credit Risk Model suite.

For more information, including delivery options, a detailed White Paper, or historical files for backtesting please contact StarMine Quantitative Consulting: starmine.quantconsulting@thomsonreuters.com

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