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I have the following questions for obtaining the credit rating:

  1. Given that I have cumulative default probability of each credit rating from Global Corporate Average Cumulative Default Rates (1982-2002) in Standard & Poors, how can I get the recovery rate and expected loss for each credit rating?

  2. What is the usual way to obtain the default probability and recovery rate?

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Why do all of your question titles start with "Question about ..."? No one else writes like that. Just ask your question in the title. –  chrisaycock Oct 7 '13 at 15:56
    
I think you need to greatly narrow the scope of your question - as it stands you're asking for a textbook. There are many credit ratings providers, and they aren't equal nor are their ratings quantitative. "Each" credit rating entails 61 ratings if you're only talking about Fitch/Moodys/S&P. –  jeff m Oct 7 '13 at 20:58
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Also, you have the relationship in the wrong direction. The rating, in addition to many other factors, is based on the probabilities of default, etc. not the other way around. The company will be downgraded far down the scale before the event happens, so a current(good) rating won't tell you much on default probability or loss given default. –  jeff m Oct 7 '13 at 21:05
    
What I think initially is that there should be a benchmark/standard default probability or loss given default/recovery rate for each rating. On the other hand, can I get the benchmark curve for each credit rating, i.e. Industrial BBB CDS curve? If so, where can I get such curve, say from Bloomberg database? –  Dennis Oct 8 '13 at 6:24
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