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Market Implied Ratings

Ludovic L. Breger
MSCI Barra - Fixed Income Research

Lisa R. Goldberg
MSCI Barra

Oren Cheyette
none; Barclays - San Francisco, Ca Office



Risk Magazine, July 2003

Abstract:     
Recent high-profile defaults of investment grade bond issuers have demonstrated the weakness of conventional ratings in rapidly changing circumstances. We propose a simple method to derive market-based ratings from spread data, and show that classifying bonds using such ratings provides a more reliable basis for modeling return relationships than does a classification driven by agency ratings.

Keywords: Credit rating, risk, market implied ratings

Accepted Paper Series

Date posted: August 13, 2003 ; Last revised: November 11, 2008

Suggested Citation

Breger, Ludovic L., Goldberg, Lisa R. and Cheyette, Oren, Market Implied Ratings. Risk Magazine, July 2003. Available at SSRN: http://ssrn.com/abstract=402800 or doi:10.2139/ssrn.402800


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Contact Information

Ludovic L. Breger (Contact Author)
MSCI Barra - Fixed Income Research ( email )
2100 Milvia Street
Berkeley, CA 94704
United States
510-649-4613 (Phone)
510-848-0954 (Fax)
Oren Cheyette
none ( email )
United States
Barclays - San Francisco, Ca Office ( email )
45 Fremont Street
San Francisco, CA 94105
United States
415 908-7150 (Phone)
Lisa R. Goldberg
MSCI Barra ( email )
2100 Milvia Street
Berkeley, CA 94704
United States
510-649-4601 (Phone)
510-848-0954 (Fax)
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