This product was created in collaboration with the Credit Research Initiative (CRI), which is part of the National University of Singapore (NUS). We used their database containing daily Probability of Default (PD) data, which we mapped to the bonds issued by those companies. This allowed us to distribute their data in our system and build additional analytics.

The analytics we developed used the binomial option pricing method, with the option being the default event, hence creating default adjusted cashflows. These cashflows were the base for the analytics. The notable analytics were Default Adjusted Spread and Default Adjusted Yield.

The main concept behind these analytics was to remove the default risk from the spread and the yield, hence providing users a more comprehensive understanding of the risks in their investments.

Some resources:

• the link to the Go-To-Market webinar can be found here.
• the presentation slides can be found here.
• the factsheet about the product can be found here.