Fitch Readies Market-Implied Ratings
Dubbed Market Implied Ratings, the new indicators are split into two categories based on credit default swap (CDS) and equity markets.
The CDS-implied ratings begin by constructing spread ranges for each rating category, but also adjust to smooth market volatility in CDS prices. For example, each firm's market-implied rating is determined by changes in spread relative to the market, rather than absolute valuations, says Jon Di Giambattista, senior director in Fitch's Quantitative Financial
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