Global Credit Risk Data
Europe’s Independent Source for Large-Scale Default Probabilities
Credit Risk Data Built on Proprietary Models
SigmaQ provides corporate PD, LGD and liquidity risk data generated using our proprietary quantitative models and methodologies. Designed for insurance companies, banks, lenders, corporates and regulators, SigmaQ data support credit monitoring, investment portfolios, IFRS 9 and CECL, credit portfolio models and stress testing.
Our flagship product is daily company-level Probability of Default data for the global listed corporate market, complemented by instrument-level LGD data and liquidity risk measures.
Clients can use our data directly or combine them with SigmaQ’s established models, analytics and advisory expertise, including bespoke solutions.
SigmaQ data are used for credit monitoring, PD/LGD modelling, ECL applications and as independent benchmarks to leading industry providers.
Our Data
Corporate Probability of Default
SigmaQ provides daily company-level Probability of Default estimates for the global listed corporate market, generated using our proprietary Bayesian default risk model.
Key features include:
- 35,000+ listed companies across 70+ markets
- Daily company-level PD estimates
- Historical time series back to 2007
- Delivery via API or CSV
The data provide a consistent measure of corporate default risk across regions, industries and economic cycles.
Sector Credit Indices
SigmaQ constructs sector credit indices from our company-level PD data, providing aggregate measures of credit conditions across industries. They can be used for portfolio analysis, benchmarking and the calibration of macroeconomic credit risk models.
Indices can be provided for standard universes or constructed around specific client requirements.
Customized PD Models
For portfolios requiring a more specific approach, SigmaQ develops customized PD models. Particularly for low-default portfolios (LDPs) and portfolios with limited internal default history, our established Bayesian methodology can provide a robust basis for model development.
This combines an empirically tested modelling framework with calibration tailored to the client’s portfolio and application.
Explore our corporate default risk model →
Loss Given Default
SigmaQ provides instrument-level Loss Given Default estimates on an ISIN basis, complementing company-level PD data with estimates of loss severity.
Our LGD universe covers more than 100,000 debt instruments, allowing issuer-level default risk and instrument-specific loss severity to be combined within investment portfolios and expected credit loss frameworks.
PD and LGD data can be used independently or together as components of a broader quantitative credit risk architecture.
Liquidity Risk
SigmaQ provides quantitative liquidity risk measures for investment portfolios, supporting the assessment and monitoring of market liquidity across individual securities and portfolios.
Liquidity data can be integrated with other SigmaQ risk measures or directly into existing client systems.
Proprietary Models. Transparent Methodology.
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.
Our focus is on robust, transparent and economically interpretable risk measures that can be used both as standalone data and as inputs to quantitative models. 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:
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 used by leading financial institutions — supporting robust, transparent risk measurement in practice.
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?