Market Implied Ratings

@article{Brger2003MarketIR,
  title={Market Implied Ratings},
  author={Ludovic Br{\'e}ger and L. Goldberg and Oren Cheyette},
  journal={Risk Management},
  year={2003}
}
Recent high-profile defaults of investment grade bond issuers have demonstrated the weakness of conventional ratings in rapidly changing circumstances. We propose a simple method to derive market-based ratings from spread data, and show that classifying bonds using such ratings provides a more reliable basis for modeling return relationships than does a classification driven by agency ratings. 
Bond-CDS Implied Rating Systems
SOVEREIGN RATINGS IMPLIED BY COUPLED CDS-BOND MARKET DATA
The New World of Credit Ratings
Timeliness of Spread Implied Ratings
Predicting Agency Rating Migrations with Spread Implied Ratings
Are Sovereign Credit Ratings Overrated?
CDS Implied Credit Ratings
Are Credit Ratings Still Relevant
...
1
2
3
...

References

SHOWING 1-3 OF 3 REFERENCES