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Market-implied rating

A market-implied rating estimates the market observed default probability of an individual, corporation, or even a country. Indeed, a credit rating is simply a probability of default. The methodology used by Moodys consists in a median piecewise fit of the ratings to the credit defaut swap data observed on the market.{{citation

References

References

  1. "Fitch Equity Implied Rating and Probability of Default Model".
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