Working Paper Ircres-CNR 11/2018                            
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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

corresponding author: This email address is being protected from spambots. You need JavaScript enabled to view it.



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



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).





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