Credit Analytics

objective

Produce actionable issuer and portfolio credit analytics using spread, curve, and migration signals.

workflow

1. define issuer universe, instrument mapping, and spread conventions.
2. construct bond, cds, and curve metrics with point-in-time consistency.
3. compute relative-value signals and migration-sensitive indicators.
4. validate signal behavior across regimes and liquidity conditions.
5. publish analytics only when data quality and metric stability pass controls.

required validation

• bond-cds basis behavior by issuer and tenor.
• credit spread curve slope and curvature stability.
• migration and downgrade risk indicators by cohort.
• liquidity-adjusted spread outlier detection quality.
• signal persistence and decay across market regimes.