About This Project
This site hosts a data project focused on calculating Merton Probability of Default (PD) scores for US public companies. It serves as a practical, large-scale implementation of the structural credit risk model described in the documentation.
For a detailed technical explanation of the model please see the Documentation page.
Who Built This?
This project was built and is maintained by me, Josep Rubió Piqué.
Disclaimer
This is not investment advice. The PDs and scores presented here are the result of a theoretical experiment and are for educational and illustrative purposes only. They are not intended to be used as actual investment advice or as a definitive measure of credit risk. Please think of this as a starting point or a base framework, not a finished production model.
A Note on the Data & Code
The hardest part in this project has been by far the data processing. While the model's calculation code is available in the documentation, the data processing part is not released. I may clean up and publish these in the future, along with the raw datasets, as time permits.