Transcription of Moody's Credit Rating Prediction Model
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Moody's Credit Rating Prediction Model
Special CommentMoody's Credit Rating Prediction ModelAbstractThe Prediction of Credit ratings is of interest to many market participants. Portfolio risk managers often need to pre-dict Credit ratings for unrated issuers. Issuers may seek a preliminary estimate of what their Rating might be prior toentering the capital markets. For that matter, the Rating agencies themselves may seek objective benchmarks as an ini-tial input in the Rating paper suggests a new approach to predicting Credit ratings and evaluates its performance against conven-tional approaches, such as linear regression and ordered probit models. We find that by essentially every measure, thenew technology outperforms, often dramatically, these other models.
Moody's Credit Rating Prediction Model Abstract The prediction of credit ratings is of interest to many market participants. Portfolio risk managers often need to pre-dict credit ratings for unrated issuers. Issuers may seek a preliminary estimate of what their rating might be prior to entering the capital markets.
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