Quantifying the output of credit research systems

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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Hauptverfasser: Condon, Patrick James, Deshmukh, Vinay D, Parrish, Christopher Lee, Cheng, Winnie W, Turner, Erica L, Royther, Randall T
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Sprache:eng
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creator Condon, Patrick James
Deshmukh, Vinay D
Parrish, Christopher Lee
Cheng, Winnie W
Turner, Erica L
Royther, Randall T
description 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.
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title Quantifying the output of credit research systems
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