CreditGrades launches with three backers

Deutsche Bank and Goldman Sachs have joined JP Morgan as backers of CreditGrades, an online equity-based model that assesses the credit quality of publicly traded companies.

Launched today, CreditGrades will provide benchmark prices for five-year default swaps, using the firm-value model described in a Risk (November 2001) magazine technical article by George Pan, vice-president in credit derivatives research at JP Morgan Chase in New York.

CreditGrades, developed over a six months period by JP Morgan Chase and RiskMetrics, the New York-based risk technology firm, provides indicative credit spreads based on observable market quantities such as equity price history, balance sheet information and a standard set of model assumptions. Hedge funds, insurance companies, banks and asset managers are among the intended client base.

CreditGrades.com provides free daily CreditGrades for about 5,000 public firms in North America and Europe. The product includes monitoring and model sensitivity functionality, as well as technical documentation. RiskMetrics will also market historical CreditGrades data as part of its DataMetrics service, costing between $50,000 and $100,000 per year, and will integrate CreditGrades into CreditManager and RiskManager, its Web-based credit and market risk management applications.

The three broker-dealers, which share a large portion of the credit derivatives market, said their endorsement of CreditGrades was geared to promote price transparency in the credit derivatives market.

RiskMetrics chief executive Ethan Berman told RiskNews there had been more than 1,000 hits in the CreditGrades website by 8.30am Eastern Seaboard Time.

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

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