RiskMetrics Group Launches Z-Metrics Credit Analysis Tool
18 Mars 2010 - 3:00PM
Business Wire
RiskMetrics Group Inc. (NYSE: RISK), a leading provider of risk
management and corporate governance services to the global
financial community, today announced the availability of its
Z-Metrics™ credit analysis tool, which estimates company credit
ratings and default risk probabilities. The recent high default
rate on U.S., Canadian and European high-yield bonds and leveraged
loans has credit institutions and investors more closely monitoring
the credit-worthiness of corporations.
To enable greater transparency into a firm’s credit picture,
RiskMetrics, in partnership with Dr. Edward I. Altman, the Max L.
Heine Professor of Finance at the NYU Stern School of Business, and
the world’s leading expert on credit analysis, high yield bonds and
distressed debt; and Dr. Herbert Rijken of the Vrije University of
Amsterdam, developed the Z-Metrics Methodology. The Z-Metrics model
allows investors and creditors to evaluate the credit-worthiness of
non-financial companies and includes fundamental as well as equity
market variables, including static and trend measures plus
macro-economic variables.
The Z-Metrics system has 15 “ratings” categories ranging from
the highest quality ZA+ rating to the lowest quality ZF- rating.
These ratings categories are explicitly defined and based on
Z-Metrics one- and five-year default probabilities. In addition to
best estimate default probabilities and ratings, Z-Metrics provides
stress default probabilities and ratings based on various scenarios
for the model’s variables.
“In 2009, the U.S. had over 230 firms with liabilities of at
least $100 million that filed for Chapter 11 bankruptcy protection
with combined liabilities of over $600 billion,” said Jorge Mina,
Co-Head of RiskMetrics Group’s Risk Management Business. “Given the
size and scope of the liabilities, investors are seeking new
methodologies for measuring credit risk to supplement credit
ratings and market observed spreads as indicators of default
risk.”
“Z-Metrics will offer investors a robust credit-scoring system
built upon a large and representative sample of companies that have
either suffered a credit event or remained healthy,” said Professor
Edward I. Altman. “Our credit analysis models give investors,
lenders, regulators and advisors additional powerful tools to
assess default probabilities.”
RiskMetrics Group’s Z-Metrics U.S. model is also applicable to
firms outside the U.S. For small firms, a more specialized set of
models is currently being tested. To learn more about Z-Metrics,
please visit: http://www.riskmetrics.com/z-metrics.
About RiskMetrics Group
RiskMetrics Group is a leading provider of risk management and
corporate governance products and services to participants in the
global financial markets. By bringing transparency, expertise and
access to the financial markets, RiskMetrics Group helps investors
better understand and manage the risks associated with their
financial holdings. Our solutions address a broad spectrum of risk
across our clients' financial assets. Headquartered in New York
with 20 global offices, RiskMetrics Group services some of the most
prestigious institutions and corporations worldwide. To learn more
about RiskMetrics Group, please visit: www.riskmetrics.com.
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