Building Default Probability Term Structures From Credit Consensus Data
December 9, 2025
Build multi-year PD term structures from Credit Consensus Ratings using transition matrices for CVA, pricing, and risk.
Focus your attention where and when it matters most with access to the largest and most timely source of credit risk data globally.
Credit Benchmark provides a data-driven view of credit risk, offering coverage, detail, and collective insight available nowhere else. First, we collect the entity-level credit risk views of the world’s leading financial institutions. Next, we map, cleanse, anonymize and aggregate these raw contributions to create a ‘credit consensus’, delivered to our clients weekly.
The resulting Credit Consensus Ratings, Indices & Analytics are an entirely unique product backed by real-world market sentiment. Rather than the 'issuer pay model', it represents the views of those with 'skin in the game'.
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Complex risk decisions are supported by easy access to 110,000+ Credit Consensus Ratings, 130,000+ bond and loan rating assessments, 1,200+ sector indices, and a suite of in-depth analytics - available via Web App, Excel add-in, API, flat-file download, and partner channels including Bloomberg.
Risk professionals at banks, insurance companies, asset managers, and other firms use the data to gain visibility on entities without a public rating, monitor and benchmark portfolios, assess and analyze credit trends, inform risk sharing transactions, and fulfil regulatory requirements.
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Build multi-year PD term structures from Credit Consensus Ratings using transition matrices for CVA, pricing, and risk.
This 10-year analysis highlights how structural shifts in global trade, monetary policy, and capital flows
Credit losses are forecasted to increase 7.5% in 2026. Your probability of default modeling must
Bank sentiment about the creditworthiness of their borrowers worsened in recent months after improvement earlier
This analysis evaluates how Credit Benchmark’s Credit Consensus Ratings (CCR) compare to S&P Global Ratings
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