Market-implied rating

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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. [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 ot firm specifics, continent, and outlook. [3] [4]


References[edit]

  1. ^ {{ | url = http://www.defaultrisk.com/pp_score_67.htm }}
  2. ^ {{ | title =Moody's Credit Strategy Group, Viewpoints | publisher = Moody's | date = 2007 }}
  3. ^ {{ | title =How Standard & Poor's arrives at Market Derived Signals | publisher = S&P | date = 2009 }}
  4. ^ {{ | title =Calculation of Market Implied Ratings for over 100 financial institutions, over time | publisher = OpenSource SourceForge | url = https://sourceforge.net/projects/impliedratings/ | date = 2009 }}

See also[edit]