This model is widely discussed in academic publications and are being included here for your convenience and to extend your ability to assess credit risk associated with entities in many varied industries and markets, including substantial retail customers in your portfolio.

We extended the model by incorporating the average Z-Score by major rating category, from Figure 4 in the September 2002 paper entitled "Corporate Distress Prediction Models in a Turbulent Economic and Basel II Environment."  We also interpolated the major rating categories into minor rating categories, and associated them with average historic one-year and cumulative five-year probabilities of default.