Educational datasets

CreditMetrics Datasets (lagged)

RiskMetrics makes these datasets available in order to illustrate the CreditMetrics Methodology. The datasets contain a broad and reliable set of data designed for use as an input in CreditMetrics or similar analysis.

This data is lagged. Paying clients of RiskMetrics receive current data. For more information about these datasets and the methodology, please refer to the CreditMetrics Technical Document. For specific support issues, email questions directly to datametrics.support@riskmetrics.com.

These credit datasets contain only a fraction of the total data available through the DataMetrics service, including Credit Curves, Implied volatilities, Emerging Markets data and much else. To learn more about the many types of data and services provided by DataMetrics, contact one of our sales offices.

Lagged Data Sets

Oct 29, 2004	Foreign Exchange rates Foreign currencies against the dollar expressed as USD/currency.
Oct 29, 2004	Yield curve data One to 30 year par interest rate yields.
Oct 29, 2004	Corporate bond spreads Corporate bond spreads to government yields by industry and credit rating.
Oct 29, 2004	EU Corporate bond spreads Corporate bond spreads to government yields by industry and credit rating.
Nov 18, 1999	Transition matrices Tables of probabilities listing the chance of possible quality upgrades, downgrades and defaults.

These files are all ASCII, tab delimited.