Ratings can still sharpen credit risk picture

Study shows even the most modern default models benefit from adding credit rating information

Television static

The shortcomings of credit ratings are well known. Like the fuzzy screen of an old TV set, they give an impression of what’s going on, but lack reliability. Now, new research suggests that combining ratings with public financial information can get you a much clearer picture.

Credit ratings are clearly imperfect. The 2008 crisis notoriously revealed their vulnerability to commercial influence, and recent research highlighted their tendency to be ‘sticky’ just above the point of a downgrade to

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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