Development of an internal Credit Rating model for unrated companies / Quantitative alignment of portfolio risk against a client’s risk appetite

The first part of this project involves the development of an internal credit rating model. Credit ratings, such as those provided by credit rating agencies like S&P and Moody’s, are an important tool that measure the credit risk associated with different companies. However, as the markets expand there are an increasing number of companies where investors would like to participate, but which are not rated by these agencies. Thus, the Toronto-Dominion Bank’s Wealth division would like to create a model that can assess a company’s credit rating and compute a similar score to that of the credit rating agencies. This internal rating system would allow TD Bank’s customers to better measure credit risk with their investments. TO BE CONT’D

Faculty Supervisor:

Roy H Kwon

Student:

Partner:

Toronto-Dominion Bank

Discipline:

Engineering

Sector:

Finance and Insurance

University:

University of Toronto

Program: