When using Reuters, for each listed company there is credit tab that shows relevant information in terms of credit default. There is also rating class as well as one year default probability. It is said they use a structural model - does anyone knows what structural model do they use?
Reuters uses a proprietary model defined StarMine structural/SmartRatios Credit Risk model that has been developed by themselves and provided with the Reuters data service.
It does not exist a formal definition or paper about the model, in which it is explained how to get that score; Reuters simply explains roughly what is in its website without going into details.
Here you can find the link to the webpage
The model combines financial ratios and metrics that are predictive of credit risk into five components: profitability, leverage, debt coverage, liquidity, and growth. The model also incorporates industry-specific metrics where appropriate, particularly for banks and insurance companies but also for retailers, utilities, airlines, and others. The model output includes 1-100 scores for each of the five components, default probabilities, overall 1-100 percentile scores, and letter ratings.
Hope this helps.