HONG KONG and NEW YORK, Dec. 27, 2021 /PRNewswire/
-- Greifenberg Digital, a member of the IMTE Group, today
launched Credit AI, a groundbreaking suite of risk analytics for
corporate bonds with an initial coverage universe of nearly 30,000
Chinese local-currency corporate bonds. The analytics are delivered
via Internet on an interactive website.
"We've done comprehensive back testing, including rigorous
out-of-sample tests," said Uwe
Parpart, Greifenberg's managing partner. "Our system has
provable predictive value for China's corporate bond market. And it
performed particularly well in forecasting distress in China's property bond sector."
"The volatility in China's high
yield bond market during the past year underscores the need for
better navigational tools," Parpart added. "We set out to create
the state of the art in credit risk management for China and, eventually, many other corporate
bond markets."
The new system includes an innovative financial scoring model, a
machine-learning algorithm that detects default risk in corporate
financial reporting, an Artificial Intelligence model to assess the
probability of misstatements in corporate balance sheets and income
statements, and a Contingent Claims Analysis model that derives
default risk from real-time equity and option market data.
In addition, Greifenberg uses Natural Language Processing, a
form of Artificial Intelligence analysis of news and social media
to gauge changes in sentiment about corporate bond issuers. The NLP
system presently covers the whole spectrum of Chinese-language
public sources, and will be available to website users by
January 1.
Greifenberg also offers matrix pricing of infrequently-traded
bonds. This methodology allows investors to identify profit
opportunities in the less liquid part of the Chinese corporate bond
universe. Greifenberg's proprietary matrix pricing model identifies
reference bonds from the liquid universe and estimates the fair
value of illiquid bonds by comparing the risk characteristics of
illiquid bonds to the characteristics of comparable liquid
instruments. The matrix pricing system provides a reference point
for relative value for a large part of China's onshore bond universe.
In addition, Credit AI provides a portfolio management system
that calculates Value at Risk and expected loss from default for
corporate bond portfolios. The portfolio module translates the risk
measurements of each bond into a default probability and uses the
correlation of bond performance to calculate risk at the portfolio
level.
"The whole of our analytic suite is greater than the sum of the
parts," said Parpart explained. "We have introduced some true
innovations, especially in the application of machine learning to
credit analysis and in Natural Language Processing. But what makes
the system so robust is the combination of diagnostic tools. We
process the entire spectrum of market signals, from balance sheet
anomalies to equity market volatility to social media commentary,
and extract risk and relative value signals that portfolio managers
can use in a timely fashion."
The Greifenberg website is now available to institutional
investors. Along with the inauguration of the analytics website,
Greifenberg released a White Paper detailing the performance of the
analytics suite during the Chinese property bond crisis of
August-October 2021. "To a great
extent, the shakeout in China's
corporate bond market was predictable. We examine in this White
Paper the case histories of defaults in the Chinese corporate bond
market that prompted the distress in property and other credit. In
most cases, default events were forecast accurately by
Greifenberg's combination of credit valuation tools," the White
Paper states.
Greifenberg's team includes Uwe
Parpart, former head of research at Reorient Group and of
Asia strategy at Bank of America
(Hong Kong); David Goldman, former head of fixed income
research at Bank of America and developer of widely-used
quantitative credit models; Jerry
Lucas, former chief interest-rate strategist at Bank of
America and Deutsche Bank; and Michael
Peng, who has built credit models for J.P. Morgan, Bank of
America Merrill Lynch, and Boston Consulting Group.
About Greifenberg Digital Limited ("Greifenberg")
Greifenberg is a Canadian company engaged in the business of the
credit research on China's fixed
income market. Greifenberg has developed an innovative AI/Big Data
suite of corporate bond analytics focused on the Chinese market.
For more information, please
visit www.greifenbergcapital.com.
About Integrated Media Technology Limited ("IMTE")
IMTE is an Australian company engaged in the business of the
manufacture and sale of nano coated plates for filters, the
manufacturing and sale of electronic glass and financial research.
For more information, please visit www.imtechltd.com.
Safe Harbor Statement
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"forward-looking statements." All statements other than statements
of historical fact included herein are "forward-looking
statements."These forward-looking statements are often identified
by the use of forward-looking terminology such as "believes,"
"expects" or similar expressions, involve known and unknown risks
and uncertainties. Although the Company believes that the
expectations reflected in such forward-looking statements are
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and these expectations may prove to be incorrect. You should not
place undue reliance on these forward-looking statements, which
speak only as of the date of this press release. The Company's
actual results could differ materially from those anticipated in
these forward-looking statements as a result of a variety of
factors, including those discussed in the Company's periodic
reports that are filed with the Securities and Exchange Commission
and available on its website (http://www.sec.gov). All
forward-looking statements attributable to the Company or persons
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SOURCE Integrated Media Technology Limited