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, Web Service, API, Deployed/Onsite Servers, SFTP, Cloud, Desktop, FTP, Bulk, Snowflake, Website, RSS Feed
Data formats:
PDF, GZIP, XML, JSON, SQL, CSV, Text, Python, MPEG, HTML, Bitmap, User Interface, PCAP
Minimum service frequency
Daily
Overview of StarMine Structural Credit Risk Model
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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