ICAP adds hazard rates and survival probabilities to Credit Derivatives Service
ICAP has launched Hazard Rates and Survival Probabilities as part of an expanded end of day Credit Derivatives Service.
Hazard rates are often referred to as the default intensity or conditional default probability of a specified company while survival probabilities are the unconditional probability of no-default (survival).
Hazard rates provide a more sensitive way of looking at default risk than simple asset prices, and can be used in many aspects of credit risk modelling.
Launched in October 2012 in conjunction with Rapid Ratings, ICAP Credit Derivatives closing service provides daily levels and full term structure for more than 200 European entities, generated by ICAP credit broking operations and in-house credit analytics. Combined with Rapid Ratings’ Financial Health Ratings (FHR), a forward looking indicator of financial risk, this service provides an alternative and independent source of data for valuation, accounting and risk management purposes.
Customers can subscribe to this new service directly from ICAP or view via ICAP’s global vendor distribution network.
Kevin Taylor, global head of ICAP Information Services, says: “With the market continuing to evolve, it is important to offer our customers new and innovative products that enable them to manage issuer credit risk efficiently. Hazard Rates and Survival Probabilities, generated from an independent source of credit market price data, will give an even more accurate picture of credit risk for more than 200 companies.”
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