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RMG Designs New Model With Default Risk Indicator
Published on Jun 05, 2009

RiskMetrics Group, a provider of risk management and corporate governance services, is partnering with credit modeling expert, Professor Edward Altman, to develop a new credit risk scoring system.

The credit risk model will offer a forward looking estimator of the probability of credit defaults and the bond rating equivalent for publicly traded companies on a global basis.

Altman is the Director of the Credit & Debt Markets Research Program and Max L. Heine Professor of Finance at the Stern School of Business, New York University. For almost two decades, he has directed the research efforts in Fixed Income and Credit Markets at the NYU Salomon Center and has been recognized as one of the top 100 most influential persons in the world of finance.

The new credit risk model will be designed for risk officers, portfolio managers, and issuers of debt instruments. The expected release for the credit risk model is early 2010.

"Investors are seeking new methodologies for measuring credit risk to replace or supplement credit ratings and market observed spreads as indicators of default risk," says Jorge Mina, co-head of Risk Business, RiskMetrics. "Combining Professor Altman`s expertise with RiskMetrics` will enable investors to better assess companies` creditworthiness." *


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