Global Corporate Credit Risk Data
Europe’s Independent Source for Large-Scale Default Probabilities
Measure credit risk. At scale.
SigmaQ provides daily company-level Probability of Default estimates for the global listed corporate market. Our proprietary credit risk data combine broad global coverage with a transparent quantitative methodology and flexible delivery via API or CSV.
From credit monitoring and investment portfolios to IFRS 9/CECL and quantitative risk models, SigmaQ provides the data and expertise required to measure credit risk consistently across large corporate universes.
SigmaQ Default Risk Metric
Our default risk technology is built on latest data science approaches and makes use of Bayesian updating. The calibration itself builds on SigmaQ’s corporate default database and an overall default history of more than 50 years. We currently provide corporate default probabilities for 35’000+ companies globally for 70+ market places.
SigmaQ Emission-Adjusted Default Risk Metric
Our credit risk technology enables us us to integrate new risk factors into the estimation sample. We were one of the first providers worldwide to successfully integrate greenhouse gas emissions into the measurement of corporate default risk. We provide emission-adjusted corporate default probabilities for 8’000+ companies globally.
SigmaQ Liquidity Risk Metric
SigmaQ Analytics provides a liquidity risk indicator for sovereign and corporate bonds on ISIN level, covering the entire global, developed market with 250’000+ bonds. We provide composite liquidity risk metrics for investment portfolios.
