Point-in-time vs. through-the-cycle: filosofie di rating a confronto

Point-in-time vs. through-the-cycle: comparing rating philosophies

Franco Varetto

CNR-IRCRES, Consiglio Nazionale delle Ricerche – Istituto di Ricerca sulla Crescita Economica Sostenibile, Via Real Collegio 30, Moncalieri (TO) – Italy

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Abstract

There are two fundamental philosophies of credit rating: the point-in-time and the through-the-cycle approaches. This survey consider the explanations of the three main rating agencies, Standard&Poor’s, Moody’s and Fitch, and compare them with the various quantitative models proposed in the scientific literature by researchers, consultants and regulators. Some common frameworks characterizing these models are identified and evaluated.

Keywords: Credit Rating, Probability of Default, Rating Agency, Point-in-Time, Through-the-Cycle.

JEL codes G21, G28, G32, G33

DOI: 10.23760/2421-7158.2018.011

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How to Cite this Article

Varetto, F. (2018). Point-in-time vs. through-the-cycle: filosofie di rating a confronto. Working Paper IRCrES, 4(10). http://dx.doi.org/10.23760/2421-7158.2018.011