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S&P Credit Research958 word report
published Nov 06, 2009
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S&P Credit Research
| Abstract: | NEW YORK (Standard&Poor's) Nov. 6, 2009--Standard&Poor's Ratings Services has published a report clarifying its assumptions relating to the corporate credit rating transition matrix, which is consistent with the corporate default table in CDO Evaluator 5.0, our analytical tool for estimating the defaults and losses of collateralized debt obligation (CDO) transactions at different rating levels. For CDO Evaluator 5.0, we use credit rating transitions with a constant one-year matrix that we created based on our CreditPro database. We create multi-year transition matrices by raising the one-year transition matrix to iterative powers. We use these corporate credit rating transition matrices solely in connection with our default assumptions for corporate credits. Standard&Poor's methodology for estimating credit curves
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| Brief Excerpt: | RESEARCH Ratings Definitions Report Clarifies Supplementary Assumptions Relating To CDO Evaluator 5.0: Corporate Credit Rating Transition Matrix Publication date: 06-Nov-2009 Quantitative Analytics Group: Cristina Polizu, New York...
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| Report Type: | News
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| Sector: | Structured Finance
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| Free Sample: |
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S&P Credit Research provides analysis on issuers and debt obligations of corporations, states and municipalities, financial institutions, insurance companies and sovereign governments. S&P also offers insight into the credit risk of structured finance deals, providing an independent view of credit risk associated with a growing array of debt-securitized instruments.
