Fitch Risk launches Credit Rating System

CreditVantage, the credit risk management division of Fitch Risk, has launched Credit Rating System (CRS), a suite of credit rating products designed to assist banksin implementing industry best practices in their credit analysis and capital allocation processes.

CRS uses a multivariate regression model designed to replicate major agency ratings. It uses a combination of historical financial information and point-in-time equity market information to generate statistically robust agency-like ratings for both public and private firms, Fitch Risk said. CRS can be used to predict credit ratings with individual models for US, European and Japanese corporates, telecommunication companies, utilities, small and medium-sized enterprises, and banks.

“CRS will enable banks to prove to regulators that their credit risk process for an internal ratings-based approach, under Basel II, is robust, consistent and objective,” said Treeve Coomber, senior director of quantitative analysis at Fitch Risk in London.

Although Fitch Risk is now officially marketing the product, Credit Suisse First Boston (CSFB) first developed CRS and is Fitch Risk CRS' first client. In July 2002, the bank sold the CRS intellectual property rights to Fitch Risk for an undisclosed sum. “The CSFB idea behind developing CRS was to promote consistency between its different credit departments around the globe,” said Coomber, previously a vice-president of credit risk management at CSFB in London. “CRS provides objectivity and rids banks of certain possible regional variations in rating practices.”