Fitch Risk launches Credit Rating System

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.”

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: