Choosing Data for Structural Credit Models

Summary

The document discusses sourcing data for a project implementing the Black-Merton-Scholes framework in R, clarified by the answer as an application to credit instruments. The response says that the required data depends on the specific question and model inputs. It notes that a Bloomberg terminal may provide relevant information and mentions balance-sheet data as a possible input, with some sources available freely online.

The answer gives an example of related work using a Black-Cox structural model with a changing barrier, but it does not list validated datasets, describe their coverage, or explain how to map observations into model parameters. Its practical recommendation is to choose companies for which the needed information can be obtained, especially if the project should remain reproducible without terminal access. This is general guidance rather than a complete data recipe; availability, quality, and suitability must be checked for the particular credit-modeling question.

Key ideas

• Structural credit models require data choices tailored to the question and model inputs.
• A Bloomberg terminal may offer relevant financial data, while some balance-sheet information can be found freely.
• The answer cites experience with a Black-Cox model using a changing barrier.
• For reusable research, select firms whose required data can be accessed without relying on Bloomberg.
• The source does not identify specific datasets or explain parameter construction.

Tags

# Where can I find data source for structural models?


# Where can I find data source for structural models?












I am starting a project to implement the Black-Merton-Scholes model from this book in R.

However, I am looking for, ideally free, data sources. Still I have access to a Bloomberg terminal.

Can you recommend data sources, which can be used for a project like that?

## Answer by user12348 (score 1, accepted)

https://quant.stackexchange.com/a/21434

You are trying to apply BSM in the context of Credit instruments. While you have the Bloomberg terminal you can find the data there. The key is determining what are you investigating and what particular data you need. I have used something similar - Black and Cox Structural model, with changing barrier. I was able to get some free data, regarding balance sheets, from various web sites, just google. If you are doing it to learn then pick stocks that you can get the information for free when you no longer have Bloomberg, otherwise center on it and do your work. Here is another source What data sources are available online?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.