Hanweck Signal's Implied Credit data delivers insights on credit from the equity options markets. In addition to implied default probability and synthetic credit spreads, Hanweck Signal Analytics can also generate risk sensitivities (Greeks) related to the CEV Credit model, providing additional cross-asset class tools for portfolio and hedge construction.
Hanweck Signal's Implied Credit applies the CEV option model to model the default process for companies with listed equity options. Implied Credit utilizes Hanweck Option Analytics data to create an inherently integrated indicator, sensitive to implied volatility levels, skew, and stock price. Implied Credit series can be viewed at the individual name level or aggregated and weighted to create broader sector or index views. Data is generated as an implied default probability, and further transformed into a synthetic credit spread.
Credit market participants today already monitor the equity markets and use equity and equity index derivatives as hedges. Implied Credit provides automated monitoring of markets correlated with credit, providing reactive forward-looking signals on default probabilities and implied credit spreads.
Implied Credit conveys insights from the reactive and transparent equity derivatives market to the credit markets where quoting is less continuous. Spread changes observed in the credit market can be corroborated against Implied Credit moves to form a stronger view on whether a change is for example, more likely to be technical supply-demand issue, or whether a name is seeing a fundamental change in view reflecting across asset-classes.
Credit traders monitor the equity markets and use equity and equity index derivatives as hedges. Implied CEV Credit provides automated monitoring of markets correlated with credit, providing reactive forward-looking signals on default probabilities and implied credit spreads.