Finding Historical Default Probability and Credit Rating Data

Summary

The document describes a research problem: studying whether ESG ratings help explain credit ratings or default probabilities over time. The researcher has ESG data and company fundamentals for more than 900 European firms, but the database provides only current default-probability observations rather than the historical series needed for the analysis. The request also considers distance-to-default and credit ratings as possible substitutes or related measures.

No data provider, estimation approach, or answer is supplied. The document therefore offers no evidence about the relationship between ESG and credit risk, and it does not establish that any alternative variable can be inverted to recover default probabilities. Its practical contribution is to define the data requirement and identify the distinction between a current snapshot and a usable historical series. Researchers would need to assess whether any candidate rating, distance-to-default measure, or other variable has adequate historical coverage and a documented relationship to probability of default before using it in an empirical analysis.

Key ideas

• The research question concerns changes over time in the relationship between ESG ratings and credit risk.
• The researcher has ESG data and fundamentals for more than 900 European companies.
• The available database observation is current, while the proposed analysis requires historical default probabilities.
• Credit ratings and distance-to-default are raised as related data series to investigate.
• The document supplies no data source, estimation method, or empirical findings.

Tags

# Time series data for probability of default (or credit ratings)


# Time series data for probability of default (or credit ratings)












I'm currently investigating potential correlations among ESG ratings and credit ratings; more in particular, i'm trying to understand whether such correlation evolved during the last 20 (?) years, and to which degree ESG ratings can be considered an explanatory variable for credit ratings and probability of default. For my empirical analysis I am employing ESG data and fundamentals of 900+ companies in Europe, obtained from the Refinitiv/Eikon Datastream database; however, the crucial time series for my analysis would be the time series of probabilities of default for the above-mentioned companies. The problem is, such time series is not available in the database: i can only retrieve the current observation. So, my question is: does anybody know where I can find time series data for European equities regarding default probability, or equivalently distance-to-default, credit rating, ...? As an alternative, could you suggest some other financial variable in which the PD is required as an input and for which the time series is instead available, so that i can retrieve the necessary data by inverting the equation? Thanks to everybody willing to help. Any suggestion is largely appreciated.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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