Working with clients, Risk Control has developed modelling approaches that provide a timely understanding of the state of the novel and fast-moving Covid-19 crisis. Some of our modelling results are displayed in this dashboard:
We hope they are useful to lenders and investors round the globe, evaluating new loans and analysing hedging opportunities.
Most Covid-19 data sources focus on medical developments or economic activity as revealed by government announcements or mobility statistics. Here, we summarise some key numbers on these metrics also provide real-time measures of the credit market implications of the crisis.
The dashboard contains three tabs:
1. “Crisis Statistics” gathers the basic epidemiological metrics including deaths in different countries. Other public data are presented including Google’s mobility data (useful in revealing disturbance in workplaces attendance worldwide) and information on government policies gathered by the Oxford University. Also provided are data on equity price returns since the start of 2020 showing the association between work disruption and financial market responses.
2. “Sovereign Impacts” presents the real-time sovereign ratings and how they have changed (in average numbers of notches) across global regions. The onset of the Covid-19 crisis, coincided with a sudden worsening in sovereign credit standing as measured by our real-time ratings (which are based on market data on Credit Default Swap (CDS) spreads). Time series of implied Probabilities of Default (PDs) are displayed for each country.
3. “Sector Impacts” shows the impact of the crisis on PDs across industrial sectors. The real-time method we employ (based on equity and debt data) tracks PDs for individual industries either at coarse (GICS Level 1), intermediate (GICS Level 2) or fine (GICS Level 3) aggregation levels.
To obtain access to the dashboard, please follow this link to register.
Links to methodology papers are provided on the respective tabs.
Please send your feedback on the dashboard via email to: firstname.lastname@example.org .