06/02/2012
The Fitch Bank Credit Model is a statistical model that produces a Financial Implied Rating and daily Implied CDS Spread for over 11,000 banks across the globe. It's now available via our global banking database, Bankscope.
The Fitch Bank Credit Model helps you meet the growing need for a variety of financial and market-based indicators to monitor your institution’s exposure to credit and counterparty risk and to understand your regulatory and capital adequacy requirements
This new model also helps you evaluate banks that aren’t traditionally assessed by rating agencies and validate and benchmark your own credit opinions.
The two elements explained:
1. The Financial Implied Rating is derived from financial ratios. It takes into account regional-specific factors as well as proprietary bank default data.
2. The daily Implied CDS Spreads are calculated using only statistically significant factors, including aggregated information from the CDS market, the Financial Implied Rating, additional financial ratios, distance-to-default information derived from the equity market plus other market variables.
Key benefits - get access to:
- a new method to review non-agency rated banks
- credit and counterparty risk for compliance purposes via a standard and consistent method and data input
- additional credit risk indicators to validate and benchmark your results from internal models
- a new source of expertise, seamlessly integrated in Bankscope - with no additional IT requirement
- analysis within a matter of minutes and share with interested parties
- highly relevant analysis – the model has been developed post credit crisis and performs robustly through the full business cycle