Timeliness of Spread Implied Ratings
研究发现，对于欧元债券，利差隐含评级往往能提前预示机构评级的变动，从而更及时地追踪信用风险，对银行风险管理和投资组合经理有重要参考价值。
Abstract Rating agencies are known to be prudent in their approach to rating revisions, which results in delayed rating adjustments. For a large set of eurobonds we derive credit spread implied ratings and compare them with agency ratings. Our results indicate that spread implied ratings often anticipate the future movement of agency ratings and hence can help track credit risk in a more timely manner. This finding has important implications for risk managers in banks who, under the new Basel 2 regulations, have to rely more on credit ratings for capital allocation purposes, and for portfolio managers who face rating‐related investment restrictions.