Predicting Agency Rating Migrations with Spread Implied Ratings

Preprint OPEN
Jianming Kou; Dr Simone Varotto;
(2005)
  • Subject: credit rating, spread implied rating, credit risk
    • jel: jel:C20 | jel:G11 | jel:G23 | jel:G33
Investors traditionally rely on credit ratings to price debt instruments. However, rating agencies are known to be prudent in their approach to rating revisions, which results in delayed ratings adjustments to mutating credit conditions. For a large set of eurobonds we ... View more
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