Public Sector Credit Framework

Bond investors, policy makers and the general public deserve transparent, objective and up-to-date government credit ratings. The issue of public debt is simply too important to be handled by traditional rating agency practices.

This is why we have launched the Public Sector Credit Framework (PSCF). The framework allows an analyst to set up and run a budget simulation model in an Excel workbook. The analyst also specifies a default point in terms of a fiscal ratio. The framework calculates annual default probabilities as the proportion of simulation trials that surpass the default point in a given year.

In May 2012, we released the initial version of the software and two sample models – one for the US and one for the State of California – which are available on this page, along with a preliminary Italy analysis published in July. For the PSCF project to have an impact, we need developers to improve the software and analysts to build models. If you care about the implicatiions of growing public debt or you believe that transparent, open source technology can improve the standard of rating agency practice, please join us.

• Download the Latest Release (Version 1.1) (Requires Windows and Excel)
• Download the Prior Release (Version 1.03) (Requires Windows and Excel)
• White Paper from PF2 Securities Evaluations
• Overview Slides
• Municipal/Sovereign Research Slide Deck

 

• Download the Preliminary Italy Model (Excel) and Research Note

 

• Download US Federal Sample (Excel)

 

• • Download California Sample (Excel)

 

Open Source Community Resources

• Source Repository on GitHub
• User Support Forum on Google Groups
• Developer Forum on Google Groups

PSCF Version 1 Release Notes

The PSCF installation has only been tested on Windows 7 in environments with Micosoft Excel 2007 and 2010. Version 1.03 has been successfully tested with the 64-bit version of Excel (earlier versions were incompatible).

We expect that earlier versions of Windows and Excel will be compatible.

Although the user interface is based on Windows and Excel, the template generation routine is written in ANSI C++ and compiled with the GNU C++ compiler. It is thus portable. Specifically, the core is known to work on Linux.

The installation downloads and installs the GNU Compiler and the Boost library. If you already have either of these, their operation could be affected by this installation.

The installation does not create an icon or start menu item. To use PSCF, please open Excel and load \Documents\PSCF\sample.xlsm. Please make sure to Enable Excel Macros. The sample workbook includes a documentation sheet that explains how to use the tool.