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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. S&P however uses a log regression between the log cds and the ratings equivalent number, adjusted to firm specifics, continent, and outlook.

See also

• Alternative data
• Credit risk
• Default (finance)
• Credit history
• Credit score
• Risk-based pricing

References

1. "Fitch Equity Implied Rating and Probability of Default Model". Defaultrisk.com. Retrieved 1 July 2022.
2. Moody's Credit Strategy Group, Viewpoints, Moody's, 2007
3. How Standard & Poor's arrives at Market Derived Signals, S&P, 2009
4. "Calculation of Market Implied Ratings for over 100 financial institutions, over time". Sourceforge.net. 2009.

• Credit