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yaokylu · 2022年02月20日

notching 的作用是什么?

NO.PZ2018123101000107

问题如下:

Cromwell works with another analyst, George Hastings, to discuss credit scoring and credit rating models. Hastings starts the conversation by saying, “Credit scoring models are primarily applied to consumers or small business borrowers. In some cases, only negative information, such as delinquencies or defaults, are used, while other models use a mix of factors, such as payment history and recent credit searches.” The focus of credit scores is the probability of default. Hastings continues, “Credit ratings, on the other hand, are used in the corporate and sovereign bond market and also for asset-backed securities. Ratings are focused on probability of default. Credit rating agencies, such as Standard & Poor’s, consider the loss given default by means of notching, which adjusts the issuer rating to reflect the priority of claims in the capital structure."

Are Hastings’s comments regarding credit scores and credit ratings most likely correct?

选项:

A.

Yes

B.

No, he is incorrect with regard to credit scores.

C.

No, he is incorrect with regard to credit ratings.

解释:

Hastings’s comments regarding both credit scores and credit ratings are correct.

Rating 是用来衡量 POD,还是用来衡量 LGD的?

那notching 是用来得出 POD,还是用来得出 LGD 的?

1 个答案

pzqa015 · 2022年02月20日

嗨,爱思考的PZer你好:


主体的credit rating只focus on POD,不同信用评级代表不同主体的违约概率,即使相同评级的发行人,虽然POD相同,但是LGD也不一定相同,因为LGD取决于债务顺序以及recovery rate等因素。

notching是对主体评级与对债项评级不同的现象,一般情况下,债项评级是在主体评级上做一定的调整,notching同时考虑POD和LGD。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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