Summary of credit risk indicators and significance
| Indicator | Type of indicator | Description | F-statistic | Statistical significance (p-value) |
|---|---|---|---|---|
| AltmanZ | Accounting-based | Measures financial health using profitability, leverage, liquidity and efficiency | 19.35 | <0.001 |
| 1yrDD | Market-based | Distance from insolvency threshold based on asset volatility and market value | 7.35 | <0.001 |
| 1yrPD | Market-based | Model-estimated probability of default over the next year | 2.21 | 0.1104 |
| CDS | Market-based | Reflects market-perceived credit risk through cost of insuring debt | 3.43 | 0.0329 |
| Indicator | Type of indicator | Description | F-statistic | Statistical significance ( |
|---|---|---|---|---|
| AltmanZ | Accounting-based | Measures financial health using profitability, leverage, liquidity and efficiency | 19.35 | <0.001 |
| 1yrDD | Market-based | Distance from insolvency threshold based on asset volatility and market value | 7.35 | <0.001 |
| 1yrPD | Market-based | Model-estimated probability of default over the next year | 2.21 | 0.1104 |
| Market-based | Reflects market-perceived credit risk through cost of insuring debt | 3.43 | 0.0329 |
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