Market-implied rating: Difference between revisions
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A '''market-implied rating''' estimates the [[market observed default probability]] of an individual, [[corporation]], or even a country. Indeed, a '''[[credit rating]]''' is simply a [[probability of default]]. |
A '''market-implied rating''' estimates the [[market observed default probability]] of an individual, [[corporation]], or even a country. Indeed, a '''[[credit rating]]''' is simply a [[probability of default]]. |
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Revision as of 05:38, 31 May 2020
 | This article may require cleanup to meet Wikipedia's quality standards. The specific problem is: References not set up correctly. (March 2013) |
A market-implied rating estimates the market observed default probability of an individual, corporation, or even a country. Indeed, a credit rating is simply a probability of default. [1] The methodology used by Moodys consists in a median piecewise fit of the ratings to the credit defaut swap data observed on the market. [2] S&P however uses a log regression between the log cds and the ratings equivalent number, adjusted to firm specifics, continent, and outlook. [3] [4][5]
References
- ^ {{ | url = http://www.defaultrisk.com/pp_score_67.htm }}
- ^ {{ | title =Moody's Credit Strategy Group, Viewpoints | publisher = Moody's | date = 2007 }}
- ^ {{ | title =How Standard & Poor's arrives at Market Derived Signals | publisher = S&P | date = 2009 }}
- ^ {{ | title =Calculation of Market Implied Ratings for over 100 financial institutions, over time | publisher = OpenSource SourceForge | url = https://sourceforge.net/projects/impliedratings/ | date = 2009 }}
- ^ "How To Improve Credit Score". Tuesday, 5 November 2019