Zanders EAGLE Model

The EAGLE Global Corporate Rating Model determines the risk of default for corporates.

Benefits

  • Use EAGLE within FACT along side other integrated models
  • Customise the model to meet any specific requirements
  • Automate the generation of reports for corporates in BvD's products
  • Consistently asses counterparty risk
 

The EAGLE model comprises two reports:

Obligor Ratio Report

Displays financial statements and ratios for the last three years’ results. The figures can be amended and qualitative factors selected for a more tailored review.

Obligor Risk Rating Report

Provides a transparent overview of the financial health of a company. It details scores for each of the assessment blocks providing a quantitative and qualitative summary. This results in the Initial Obligor Risk Rating. Finally, EAGLE takes elements into account such as country risk, contingencies and corporate structure, resulting in the Final Obligor Risk Rating.

Model Logic

The Financial Analysis distinguishes between 17 NACE industry classes and combines 17 quantitative variables, 7 qualitative variables and an override section. The model also takes into account the subject’s trend and country risk. The model provides 14 non-default rating classes, which are linked to a Probability of Default (PD).

The model utilises three assessment blocks: Quantitative variables, Qualitative variables and an Override Framework.

Quantitative variables – Financial Analysis of five key areas: operations, liquidity, capital structure, debt service and size, each with specific underlying quantitative variables. By assigning weights and scores to these variables based on their discriminatory power, the model calculates an Implied Financial Rating (IFR).

Qualitative variables – Business Analysis and Behavioural Analysis consist of an assessment, done by the user, of several qualitative risk drivers, as well as internal and external indicators. Select the appropriate value for each variable and the model will assign a score. This assessment produces the Initial Obligor Risk Rating.

Override framework – This allows for country risk, group support and other indicators to be applied to the Initial Obligor Risk Rating. Country risk is determined by OECD country risk classifications.

The above steps produce the Final Obligor Risk Rating.

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