Global Credit Risk Data
Europe’s Independent Source for Large-Scale Default Probabilities
Measure credit risk. At scale.
Designed for insurance companies, banks, lenders, corporates and regulators.
SigmaQ’s data support credit monitoring, investment portfolio management, IFRS 9 and CECL, credit portfolio models and stress testing.
Corporate Probability of Default Data
SigmaQ provides daily company-level Probability of Default estimates for the global listed corporate market. Clients can receive daily PD estimates for their individual company universe — delivered automatically via API or CSV. Historical time series are available back to 2007.
Sector Credit Indices
Customized credit indices derived from company-level PDs to track sector credit conditions and calibrate macroeconomic credit risk models.
Customized PD Models
Sector-specific PD models developed using SigmaQ’s Bayesian modelling framework.
LGD Data for Investment Portfolios
SigmaQ provides instrument-level Loss Given Default estimates on an ISIN basis for investment portfolios, complementing our company-level PD data.
LGD estimates are available for more than 100,000 debt instruments and can be used for IFRS 9 and CECL ECL as well as broader portfolio credit-risk applications.
Explore our IFRS 9 & CECL ECL solution →
Liquidity Risk Data
SigmaQ also provides a quantitative liquidity risk indicator for sovereign and corporate bonds on an ISIN basis, with current site material stating coverage of 250,000+ bonds across developed markets.
The data can be used to derive composite liquidity measures for investment portfolios and support portfolio risk management and analysis.
Transparent by Design
SigmaQ’s Probability of Default estimates are based on a proprietary Bayesian methodology using observable company information, including financial statement data and share-price history.
The methodology is built on more than 2 million observations and 3,000 corporate defaults, curated in SigmaQ’s proprietary default database. Its calibration incorporates more than 50 years of default history, including multiple economic and credit cycles.
No subjective model overlays or non-observable information are required. This makes the underlying drivers of the PD estimates transparent and allows model behaviour to be analysed and explained.
The methodology behind the data
For a detailed description of SigmaQ’s corporate default risk methodology, model design and empirical foundations:
Read the PD Methodology White Paper →
We deliver objective, transparent insights – backed by fully calibrated models that meet highest industry standards.
Access actionable intelligence on 35’000+ companies across 70+ global markets with continuous expansion to keep you ahead.
Our models are rigorously validated and trusted by leading financial institutions since 2021 – so you can make decisions with confidence.
We use only observable balance sheet and market data – no external ratings, expert overlays or subjective judgements.
Get the data you need, when you need it – via API or file-based delivery, designed to integrate effortlessly with your existing systems.
Talk to SigmaQ
Looking for corporate PDs, historical credit risk data, LGDs or customized credit risk measures?