Fitch Preps CDS Pricing Enhancements
The study, which was conducted in August, looked at all credit default swap rating actions between January 2001 and July 2008, to confirm the frequency of agency upgrades or downgrades within 12 months following a widening of spreads between market-implied and agency ratings.
"We found significant validation of our model... and it may even open it up to new uses," says Jon Di Giambattista, senior director of risk and performance analytics at Fitch Solutions.
The system calculates the difference
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