CJRating.com is an innovative, research, non-profit project supported by the volunteers and researchers and based on the new models and technologies protected by the registered patents.
The CJ Rating stands for Credit Jump Rating.
The CJ Rating main objective is forecasting probabilities of defaults and related credit risk metrics for publicly traded companies.
CJ Rating employs the advanced unique technique to calculate the credit risk ratings using innovative approaches and models based on our own framework of Geometric shot noise model. The fundamental Geometric shot noise option pricing framework is recently invented by us as an alternative to the well-known Black-Scholes and Merton options pricing models.
The Geometric shot noise model is realistic approach to model stock price movements caused by news information arrivals.
The web-based project discloses a new advanced analytical structural default model and its implementation based on computer-aided techniques for calculating credit risk metrics of publicly traded companies using data streams from various market data vendors.
CJ Rating publishes the following credit risk metrics:
· Probability of default;
· Distance to default;
· Credit spread;
· Expected credit loss;
· Recovery rate.