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Insights
Whitepaper

Sovereign & Size-Adjusted EDF-Implied Rating Template (for Private Firms)

RiskCalc™ EDF™ (Expected Default Frequency) values and agency ratings are widely used credit risk measures. RiskCalc EDF values typically measure default risk for private companies, while agency ratings are only availabl ....

December 2018 Pdf
Article

A Cost of Capital Approach to Estimating Credit Risk Premia

This research paper discusses the credit risk premium adjustment required for constructing discount rates specified by the IFRS 17 accounting rules. Calculating the credit risk premium is a key requirement in the ‘top do ....

December 2018 Pdf
Article

Slower Growth amid High Leverage Lessens Upside for Interest Rates

Both the sell-off of equities and the very limited and slight inversion of the Treasury yield curve at the three- and five-year maturities hint of a possible pause for the latest series of Fed rate hikes. Since September ....

December 2018 Pdf