credit-analysis

Comprehensive credit analysis combines financial statements and market prices to assess default risk and bond valuation. It applies Altman Z-score, Merton, and KMV models to generate a complete credit report for investment decisions.

Fixed-income bond pricing supports YTM, duration, spreads, and OAS calculations. It uses model-based methods including yield-curve fitting and DV01 to evaluate interest rate risk and option-adjusted spreads across government and corporate bonds.

Merton and KMV models are supported for structural credit risk assessment. They use market price data and financial statements to estimate default probabilities and distance to default, satisfying requirements for risk-management guidelines.

The framework supports sector-specific analysis for ABS, LGFV, government, and corporate bonds. It applies credit scoring and spread analysis tailored to each sector, using macro data and financial inputs to evaluate issuer-specific risks.

DV01 calculation and yield-curve fitting are integrated into the risk-management framework. They use market prices and macro data to measure price sensitivity and model the term structure of interest rates for fixed-income portfolios.

A complete credit analysis report requires financial statements, market prices, and macro data as inputs. These data points feed into models like Altman Z-score and OAS to output credit ratings, valuations, and risk assessments.