Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Do Credit Ratings Move Toward The Market, Or Vice Versa?

Colin Ellis, Kumar Kanthan and Veronica Zheng
The Journal of Fixed Income Fall 2018, 28 (2) 55-63; DOI: https://doi.org/10.3905/jfi.2018.28.2.055
Colin Ellis
is a research fellow at the University of Birmingham and chief credit officer for EMEA at Moody’s Investors Service in Birmingham, U.K
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Kumar Kanthan
is senior vice president and manager in the Credit Strategy & Standards Group at Moody’s Investors Service in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Veronica Zheng
is an associate analyst in the Credit Strategy & Standards Group at Moody’s Investors Service in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

There are many different gauges of credit risk that investors can use to inform their decisions. Credit rating agencies have produced measures of credit risk for many decades, but financial markets also offer a guide to these risks. The authors examine the behavior of ratings relative to market signals on credit risk. In particular, the authors examine what happens when ratings and market signals differ, in terms of any subsequent convergence (or not). They find that, on average, market signals move more frequently toward ratings than vice versa. In terms of the magnitude of these movements, however, the picture is less clear. When market signals suggest lower credit risk than ratings do, they tend to close more of the gap; when ratings are higher than market signals, however, sometimes ratings close the gap more.

  • © 2018 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income: 28 (2)
The Journal of Fixed Income
Vol. 28, Issue 2
Fall 2018
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Do Credit Ratings Move Toward The Market, Or Vice Versa?
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Do Credit Ratings Move Toward The Market, Or Vice Versa?
Colin Ellis, Kumar Kanthan, Veronica Zheng
The Journal of Fixed Income Sep 2018, 28 (2) 55-63; DOI: 10.3905/jfi.2018.28.2.055

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Do Credit Ratings Move Toward The Market, Or Vice Versa?
Colin Ellis, Kumar Kanthan, Veronica Zheng
The Journal of Fixed Income Sep 2018, 28 (2) 55-63; DOI: 10.3905/jfi.2018.28.2.055
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • HOW WE CAN COMPARE MARKET SIGNALS WITH RATINGS
    • FREQUENCY ANALYSIS: HOW OFTEN DO RATINGS AND MARKET SIGNALS CONVERGE?
    • MORE VARIATION IN MAGNITUDES OF GAPS
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies