Fitch Solutions Launches New Model for Credit and Counterparty Risk

Fitch Solutions, a division of the Fitch Group, has launched its new Bank Credit Model (BCM), which provides daily financial implied ratings and implied credit default swaps (CDS) spreads for 9,500 global banks to help risk managers improve their credit and counterparty risk surveillance and to meet regulatory and internal compliance requirements.

The model combines financial implied ratings – a fundamentally-derived measure of a bank’s one year forward standalone financial profile – with daily implied CDS spreads. The implied CDS spreads are calibrated from Fitch Solutions’ CDS market information, bank’s financial ratios, distance to default information implied from equity market valuations and macroeconomic factors.

“Fitch Solutions’ Bank Credit Model provides risk managers with a suite of valuable new inputs into their bank credit and counterparty risk decision-making process by combining financial and market-based indicators with industry coverage that goes well beyond the publicly rated universe. As current market sentiment towards the banking sector demonstrates, credit and counterparty exposure to financial institutions remains a key theme for risk managers,” said Thomas Aubrey, managing director, Fitch Solutions.

The BCM can be accessed either as a standalone data feed or through Fitch’s Integrated Data Service (IDS), which delivers clients customisable access to fundamental credit ratings, market implied ratings, bank company financials, as well as CDS liquidity scores and CDS pricing data. All data is delivered as a single, standardised feed that can easily be imported into a client’s internal model or application.


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