Hi Grant, there is a MorningStar asset classification that might help you, 'financial_health_grade' which' rates companies based on a classical Merton DD model.
This is not as advanced as the models that credit rating agencies uses, but it could be interesting to play around with it.
For further info on the model used:
https://www.quantopian.com/posts/replication-on-morningstar-financial-health-grade

Thanks Mathieu -

I'll give it a try.

This article provides a formula for measuring debt:

https://markets.businessinsider.com/news/stocks/us-corporate-debt-10-trillion-record-percentage-economy-expert-warnings-2019-12-1028731031#federal-reserve3

According to BlackRock, leverage levels are creeping toward the highest readings since 1992. The firm measured leverage using a ratio of debt minus cash and cash equivalents to 12-month EBITDA

Presumably, Quantopian has these data via Morningstar and/or Factset.

Morningstar - net_debt
https://www.quantopian.com/docs/data-reference/morningstar_fundamentals#net-debt
This is a metric that shows a company's overall debt situation by netting the value of a company's liabilities and debts with its cash and other similar liquid assets. It is calculated using [Current Debt] + [Long Term Debt] - [Cash and Cash Equivalents].

Morningstar - ebitda
https://www.quantopian.com/docs/data-reference/morningstar_fundamentals#ebitda
Earnings minus expenses (excluding interest, tax, depreciation, and amortization expenses).

One obvious question here is whether any conventional measures of financial health tell us anything? For example, one would presume that prior to the financial crisis, companies on paper were just fine, yet they had hidden risks that completely wiped them out.

https://www.completecontroller.com/financial-ratios-that-lenders-review-when-deciding-the-credit-worthiness-of-a-business/

Debt-to-Equity Ratio
Operating Margin
Current Ratio
Inventory Ratio

https://www.accountingweb.com/aa/standards/three-indicators-of-creditworthiness-for-your-business-clients

https://finbox.com/blog/top-15-credit-ratios-investors/

https://www.quantopian.com/docs/data-reference/factset_fundamentals#zscore-af-zscore-qf-zscore-saf

https://www.investopedia.com/terms/a/altman.asp

http://www.morningstar.com/InvGlossary/stock_type.aspx

Distressed

These companies are having serious operating problems. This could mean declining cash flow, negative earnings, high debt, or some combination of these. Such "turnaround" stocks tend to be highly risky but also harbor some intriguing investments.

"During the last decade, corporate America took on an unprecedented amount of debt and most of it is rated on the lowest rung of investment grade status by the rating agencies—for example, BBB by Standard & Poor’s."

https://www.forbes.com/sites/nathanvardi/2020/03/23/the-federal-reserve-moves-to-buy-corporate-debt/#4d72ac464c47