What is The Travelers Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, The Travelers's Probability of Financial Distress (%) is 0.01%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of The Travelers's Probability of Financial Distress (%)
For the Insurance - Property & Casualty subindustry, The Travelers's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
The Travelers's Probability of Financial Distress (%) Distribution in the Insurance Industry
For the Insurance industry and Financial Services sector, The Travelers's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where The Travelers's Probability of Financial Distress (%) falls into.
The Travelers Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -8.99 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.01% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For insurance companies, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
The Travelers (The Travelers) Business Description
Traded in Other Exchanges
Address
485 Lexington Avenue, New York, NY, USA, 10017
Travelers offers a broad product range and participates in both commercial and personal insurance lines. Its commercial operations offer a variety of coverage types for companies of any size but concentrate on serving midsize businesses. Its personal lines are roughly evenly split between auto and homeowners insurance. Travelers derives 6% of its premiums from foreign markets.
Executives
| Maria Olivo |
officer: Executive Vice President |
THE TRAVELERS COMPANIES, INC., 485 LEXINGTON AVENUE, NEW YORK NY 10017 |
| William H Heyman |
officer: Vice Chairman & CIO |
THE TRAVELERS COMPANIES INC, 385 WASHINGTON STREET, ST PAUL MN 55102 |
| Andy F Bessette |
officer: EVP and Chief Admin Officer |
THE TRAVELERS COMPANIES, INC., 385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Michael Frederick Klein |
officer: EVP & President, Personal Ins. |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Paul E. Munson |
officer: SVP & Corp. Controller |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Russell G. Golden |
director |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| David Donnay Rowland |
officer: EVP & Co-Chief Invest. Officer |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Avrohom J. Kess |
officer: Vice Chmn & Chief Legal Off |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Daniel S. Frey |
officer: Chief Financial Officer |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Jeffrey P. Klenk |
officer: EVP & Pres., Bond & Spec. Ins. |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Gregory C Toczydlowski |
officer: EVP & President, Business Ins. |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Diane Kurtzman |
officer: EVP & Chief HR Officer |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Alan D Schnitzer |
officer: Vice Chairman |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Daniel Tei-hwa Yin |
officer: EVP & Co-Chief Invest. Officer |
385 WASHINGTON STREET, ST. PAUL MN 55102 |
| Douglas K Russel |
officer: Controller |
THE TRAVELERS COMPANIES INC, ONE TOWER SQ, HARTFORD CT 06183 |
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