Credit Ratings Migration

This white paper introduces Bloomberg’s Ratings Migration Model (RMM) and analyzes its output. The RMM is a rating forecasting framework developed and used by Sam Geier and Noel Hebert of Bloomberg Intelligence’s U.S. Corporate Credit Strategy team to divide U.S. corporate bonds into the categories of bonds that are more likely and least likely to be upgraded vis a vis the Bloomberg Index methodology, based on rating agencies’ data. RMM further helps measure the rating action effect on the trailing and forward excess returns in different timeframes.

The inclusion of the RMM techniques (i.e., the complete RMM demo workflow, including the source code) as part of BQuant Enterprise, can help Bloomberg clients improve time-to-market when trying to deliver similar in-house solutions. Access your free copy of our white paper today to learn how the Ratings Migration Model will help you improve the quality of quantitative credit forecasting, including portfolio construction and trading strategies.

Report highlights:

• Building and analyzing the Ratings Migration Model

• Ratings Migration Model use cases

• Key challenges to analyzing and predicting ratings migration

• Implementing Ratings Migration Model in BQuant Enterprise