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corporate credit rating data?

Does Quantopian have corporate credit rating data (or some facsimile of it)?


3 responses

Hi Grant, there is a MorningStar asset classification that might help you, 'financial_health_grade' which' rates companies based on a classical Merton DD model.
This is not as advanced as the models that credit rating agencies uses, but it could be interesting to play around with it.
For further info on the model used:

Thanks Mathieu -

I'll give it a try.

This article provides a formula for measuring debt:

According to BlackRock, leverage levels are creeping toward the highest readings since 1992. The firm measured leverage using a ratio of debt minus cash and cash equivalents to 12-month EBITDA

Presumably, Quantopian has these data via Morningstar and/or Factset.