Interfax launches issuer risk assessment scoring
Interfax Group has added a new tool for analyzing issuers' credit risks to its RD Solutions line of professional services for financial market participants, RD Score, which assess the probability of default and also helps prepare financial statements according to regulatory requirements.
"Our credit scoring is a kind of construction set. It includes both 'ready' assessments, and a matrix that shows the mechanisms of the calculation, as well the actual source financial indicators of the company. You also get a construction set of methods and databases needed to create your own models for analysis of companies or validation of existing ones," the Director of Interfax's Center for Economic Analysis, Alexei Buzdalin said.
Users will Probability of Default (PD) and Loss Given Default (LGD) ratios for a random time interval, in both Point-in-Time and Through-the-Cycle variants. The RD Score is calculated for 8,600 companies, while only 800 issuers currently have credit ratings.
"The econometric model for assessing an issuer's credit risk is based on an easily interpreted logistic regression and is built on data from the company's financial statements to RAS and IFRS. The calculation factors in the industry specifics of the company, affiliated entities and group connections, default statistics, news background and other information. The model accuracy coefficient is 65%," Buzdalin said.
RD Score makes it possible to calculate provisions within the context of regulatory requirements (IFRS9, CBR resolutions No. 590-P and No. 611-P), and is also used to assess the fair value of bonds. The analysis of a company's financial health includes more than 60 calculations of financial coefficients and comparison of their values with industry values and values for the economy as a whole.
The RD Score service can be accessed through www.rudata.info, Excel Add-In and API add-ons.
RD Solutions are the RU Data Project's professional services for analysis of financial risks and management of securities portfolio performance, monitoring news and issuers' corporate events, and preparation of reporting on transactions with securities and derivatives by banks and financial institutions.
RU Data (Reference Unit Data) is a joint project of Interfax Group and the National Settlement Depository (NSD). The platform brings together all available information on the securities market, including benchmark data confirmed by the accounting system; and information from issuers and registrars, including the latest.