Data Set
QUICK Probability of Default
Delivery FrequencyWeekly
FrequencyAround 15:30 JST every Wednesday
*If Wednesday is a holiday in Japan, it will be updated on the next business day.
DeliveryAPI
SourceQUICK Corp.
                   
Description

QUICK Probability of Default (PD) is an estimate of the probability of default of each individual company. This service uses stock price and option pricing theory although there are several methods for the calculation. Financial statements showing the debt repayment capacity of individual companies are difficult to obtain at any time. On the other hand, "stock prices" are considered to incorporate information such as corporate value and debt repayment capacity in a timely manner. Therefore, by processing the "stock price," we calculate the estimated PD quickly. Specifically, we consider "stock value = call option value with corporate assets as underlying assets" and estimate the probability that the stock value becomes negative (i.e., the "probability of default," which is the probability of becoming insolvent).

At a Glance
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QUICK Analysis Report
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PDF(700KB)
Delivery Method
QUICK APIs
Coverage
(1) Sector average: TSE industrial sectors
(2) Individual stocks: Stocks included in TOPIX500 (excluding Financials)
Historical Data
Daily: Past 999 business days
Sales Territory
Global
Pricing Models
Monthly subscription

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(2) Excerpted comments on company plans: Excerpted comments on company plans from the Main Points Report and the IPO Follow-up Report (*1) published by the QUICK Corporate Valuation Research Center.
*1. A report summarizing the materials/commentaries by the companies and factual reporting from a neutral perspective.
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