Quantifying the output of credit research systems

A method of quantifying the value added by an internal company credit rating system is described. The method includes determining an internal company credit rating for each of a plurality of securities. The internal company credit rating for each of the plurality of securities and an external credit...

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Bibliographische Detailangaben
Hauptverfasser:	DESHMUKH VINAY D, ROYTHER RANDALL T, TURNER ERICA L, PARRISH CHRISTOPHER LEE, CONDON PATRICK JAMES, CHENG WINNIE W
Format:	Patent
Sprache:	eng
Schlagworte:	CALCULATING COMPUTING COUNTING DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES PHYSICS SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:	A method of quantifying the value added by an internal company credit rating system is described. The method includes determining an internal company credit rating for each of a plurality of securities. The internal company credit rating for each of the plurality of securities and an external credit research agency original credit rating for each of the securities are inputted in a ratings history database. Data representative of a change of the external credit research agency original credit rating for at least one security of the plurality of securities to a new credit rating is received. Responsive to the change, data representative of a current price of the at least one security and a benchmark price of the at least one security is received. At least one metric is calculated to determine the number of times the internal company credit ratings for each of the plurality of securities was correct.