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Imputation of Missing Company Financial Ratios

One of the biggest challenges faced by analysts assessing credit risk of a large portfolio of counterparties, is the lack or incompleteness of company financials. This issue is particularly common in the case of private companies, because they are usually not subject to the same strict accounting standards as their public counterparts.

Missing financials can hinder proper risk assessment by analysts, for example by inhibiting generation of outputs from a quantitative model, that uses those items as statistically significant variables for discriminating good from bad companies. This also affects the coverage of any prescored databases that collects outputs (scores and/or probability of defaults) calculated from a credit risk model using a database of company financials such as S&P Capital IQ®.

Find out more by reading the full article. 

Bridging the Gap of Missing Company Financials to Estimate Credit Risk