AxiomSL Announces the Release of its New Module for Default Probability Curve Bootstrapping and Time-Series Data Warehousing

Date: May 11, 2004
Location: New York

AxiomSL, provider of financial data and risk management technology has announced today the availability of its new analytical module within RiskMonitor® to calculate and bootstrap default probability curves using different methods and sources such as stock, bond and credit default swap prices.

With the consolidation of financial institutions and globalization of their customers, there is a strong incentive to improve the efficiencies and consistency of assessing credit risk across business units. Responding to data integration and computational challenges, this new module allows clients to easily adopt an enterprise-wide approach to credit risk consistent with executive policy and Basel II compliance requirements.

Default probabilities are needed to calculate a growing number of measures, including credit risk capital for business units, client portfolios and pricing individual deals, such as credit derivatives and cash instrument credit spreads. Default probabilities are often based on low frequency, backward looking statistics from an institution’s historical experience, or historical data that is published by rating agencies for their rated securities.

“Today’s credit risk management initiatives are frequently focused on firm-wide solutions for singular aspects of economic and Basel II capital measurement using historical data. AxiomSL’s RiskMonitor® now adds the ability for users to bootstrap forward looking default probability curves from high frequency market data that can be designed to be as granular as the client wants; from rating category, country, sector, industry, SIC or even down to the individual counter party, says Don Mumma, Managing Director at AxiomSL “The measurement methods, source data and results are stored in the data warehouse for complete transparency and availability for use in other RiskMonitor® functions or any other client and third party applications.”