What is Calpine 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, Calpine's Probability of Financial Distress (%) is 0.00%.
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 Calpine's Probability of Financial Distress (%)
For the Utilities - Independent Power Producers subindustry, Calpine'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.
Calpine's Probability of Financial Distress (%) Distribution in the Utilities - Independent Power Producers Industry
For the Utilities - Independent Power Producers industry and Utilities sector, Calpine's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where Calpine's Probability of Financial Distress (%) falls into.
Calpine 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 |
| = | 0.00 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.00% |
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 non-financial 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).
Calpine (Calpine) Business Description
Traded in Other Exchanges
N/A
Address
Calpine is the largest natural gas power producer in the United States, with 3.0 GW of simple-cycle combustion turbines, 6.3 GW of combined-cycle cogeneration, and 15.8 GW of combined-cycle combustion turbines. It also owns 725 MW of geothermal generation in California geothermal generation and 4 MW of solar generation.
Executives
| David C Merritt |
director |
CHARTER COMMUNICATIONS INC, 12405 POWERSCOURT DRIVE, ST LOUIS MO 63131 |
| W. Thaddeus Miller |
officer: EVP, CLO and Secretary |
717 TEXAS AVENUE, SUITE 1000, HOUSTON TX 77002 |
| Jack A Fusco |
director |
C/O FOSTER WHEELER LTD., PERRYVILLE CORPORATE PARK, CLINTON NJ 08809 |
| Frank Cassidy |
director |
|
| Thad Hill |
director, officer: President & CEO |
717 TEXAS AVENUE, SUITE 1000, HOUSTON TX 77002 |
| Mosbacher Robert A Jr |
director |
333 W. SHERIDAN AVE, OKLAHOMA CITY OK 73102 |
| W Benjamin Moreland |
director |
C/O CLEAR CHANNEL OUTDOOR HOLDINGS, INC., 4830 NORTH LOOP 1604W, SUITE 111, SAN ANTONIO TX 78249 |
| Laurie Brlas |
director |
C/O ALBEMARLE CORPORATION, 4250 CONGRESS ST STE 900, CHARLOTTE NC 28209 |
| Denise M Oleary |
director |
MEDTRONIC INC, 710 MEDTRONIC PKWY, MS LC310, MINNEAPOLIS MN 55432-5604 |
| San Francisco Partners Lp |
10 percent owner |
PO BOX 2722, C/O SPO PARTNERS & CO, SAN ANSELMO CA 94979 |
| Spo Advisory Corp |
10 percent owner |
PO BOX 2722, C/O SPO PARTNERS & CO, SAN ANSELMO CA 94979 |
| Sf Advisory Partners Lp |
10 percent owner |
591 REDWOOD HIGHWAY STE 3215, C/O SPO PARTNERS & CO, MILL VALLEY CA 94941 |
| Spo Partners Ii Lp |
10 percent owner |
PO BOX 2722, C/O SPO PARTNERS & CO, SAN ANSELMO CA 94979 |
| John H Scully |
10 percent owner |
591 REDWOOD HIGHWAY, SUITE 3215, MILL VALLEY CA 94941 |
| Spo Advisory Partners Lp |
10 percent owner |
591 REDWOOD HIGHWAY, STE 3215, MILL VALLEY CA 94941 |
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