Predicting Agency Rating Movements with Spread Implied Ratings

摘要：

Investors in the credit market traditionally rely on credit ratings produced by rating agencies to determine the creditworthiness of debt issues. A major drawback of these agency-produced ratings is the lack of timeliness. In this work we derive the yield spread implied ratings for a large dataset of Eurobonds, taking into account the term structure effect and the time-varying spread level. We then compare the behaviour pattern of the spread implied rating and that of the agency rating. Our statistics suggest that spread implied ratings could be used to predict the future movement of agency ratings.

作者: Jianming Kou Simone Varotto

作者单位: ISMA Centre, The University of Reading Whiteknights, PO Box 242, Reading RG6 6BA, UK

会议类型: 国际会议

会议名称: 2006年中国金融国际年会

会议地点: 西安

会议语种:英文

页码: 1-31

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）