Key facts for StarMine Structural Credit Risk Model
Coverage metric
Geography:
North America, Asia / Pacific, EMEA, Latin America and the Caribbean
History:
From 1998
Coverage count:
Legal entities - 45350 Public companies
Asset Class
Ordinary Shares, Equities
Delivery metadata
Data Frequency
Daily
Language
English
Delivery methods:
Excel, Deployed/Onsite Servers, API, Web Service, SFTP, Cloud, Desktop, FTP, Bulk, Snowflake, Website, RSS Feed
Data formats:
PDF, GZIP, XML, JSON, CSV, SQL, Text, Python, HTML, Bitmap, MPEG, User Interface, PCAP
Minimum service frequency
Daily
Overview of StarMine Structural Credit Risk Model
MARKET-IMPLIED CREDIT RISK
Equity-Informed Credit Risk
- Evaluates the equity market’s view of corporate credit risk.
- Provides a systematic, forward-looking measure of financial distress.
- Delivers probability of default, implied rating and relative risk score.
ENHANCED STRUCTURAL ANALYSIS
Advanced Merton Framework
- Builds on established Merton structural default framework, combining leverage, asset-value drift and volatility.
- Incorporates StarMine Value-Momentum into asset-value expectations.
- Adjusts for sector characteristics and regional default differences.
ANTICIPATE CREDIT DETERIORATION
Detect Default Risk
- Helps identify companies with elevated default risk.
- Captures changes in financial risk reflected by equity markets.
- Provides an independent view alongside traditional credit ratings.
Description of the dataset
- LSEG delivers the StarMine Structural Credit Risk Model to evaluate the equity market’s view of corporate credit risk. We extend the structural default prediction framework associated with Robert Merton, where a company’s equity is modelled as a call option on its assets.
- Our methodology enhances the traditional structural approach by incorporating StarMine equity alpha expertise, including the Value-Momentum model in the drift rate formulation. We also optimise default point and volatility assumptions, with specialised treatment for sectors such as banks and insurance companies.
- LSEG maps structural default probabilities to letter ratings and 1-100 percentile scores for intuitive interpretation. We provide a closed-form solution that helps reduce erroneous outputs associated with numerical solutions in many structural model implementations.
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