"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, London.
The Bank Credit 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," Aubrey added.
The Fitch Solutions Bank Credit Model can be accessed either as a stand-alone data feed or through Fitch's Integrated Data Service (IDS) which delivers clients customizable 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, standardized feed that can easily be imported into a client's internal model or application.
Fitch Solutions, a division of the Fitch Group, focuses on the development of fixed-income products and services, bringing to market a wide range of data, analytical tools and related services. The division is also the distribution channel for Fitch Ratings content.
The Fitch Group also includes Fitch Ratings and Algorithmics, and is a majority-owned subsidiary of Fimalac, S.A.