To address the assessment of credit risk of companies, we have joined forces with Dr. Edward Altman of NYU’s Stern School of Business and Dr. Herbert Rijken of the Vrije University of Amsterdam. The Z-Metrics methodology is the result of combining our thought leadership in market risk and credit risk with Altman and Rijken’s vast experience in evaluating the creditworthiness of corporations, which includes the development of the groundbreaking "Z score” and their more recent analysis of the accuracy and timing of rating agencies’ performance.

The Z-Metrics Model is a tool that helps investors and creditors to evaluate the creditworthiness of non-financial companies by providing default probabilities and credit ratings for each institution.

The Z-Metrics Model includes fundamental as well as market variables, using static and trend measures combined with macroeconomic variables.

The Z-Metrics rating system has 15 "rating" categories ranging from the highest quality "ZA+" rating to the lowest quality "ZF-" rating. These rating categories are explicitly defined and based on Z-Metrics default probabilities.

In addition to the base case default probabilities and ratings, clients can use Z-Metrics to identify stress default probabilities and ratings based on various scenarios for the model’s variables.

* E. Altman & B. Karlin, "Defaults and Returns in the High-Yield Bond Market Report: The year 2009 in Review," NYU Salomon Center Special Report, February 2010.