Rating Systems Setup

 

Rating System Setup  

The Credit Module Contains the five (5) standard Rating System: internal - 5 State System. S&P 08 - 7 State System. S&P 16 - 15 State System. Moodies 08 - 7 State System. Moodies 16 - 15 State System.

You can create as many Systems as you see fit through the Rating Import Facility.

The Rating System is Based on Rating Rank Order rather than label order.

This mechanism allows for more flexilibity as you can translate, aggregate  and compare probabilities according to different Rating Systems.

Note on internal Rating System:

The Internal Five State Rating System is the Default Fallback System. If no specific rating System is named, the Internal Rating System is assumed.

The internal Rating system contains five states: AAA, AA, A, BBB, HY. All states below the industry standard BBB investment grade is considered High Yield (HY).

 

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There are essentially 2 ways to create Rating Systems:

• Manually: 
  You can define Rating Systems through the Rating System interface 
• Import:
• Through the RATING_SYSTEM  Import:
  The Rating System is defined as a standard flat file. This file is then inserted as is into the Rating System import table. The Data is then disseminated into the internal Rating System and Rating Ranks tables.

  This operation is performed through the Manage Data menu of the Credit Module. You must be an administrator to access this funcitonality

Single or Multiple Rating Systems ?

The Engine is designed to accomodate either one or multiple Rating Systems. If your Counterparties have multiple Rating Systems and you have requested to run the simultaiotn with concurrent Rating Systems, the engine will take the highest (default) or lowest (survival) rate for the given counterparty.

Note: The engine can translate between one rating system and another through the Transition and Credit curve Rating System Adapter.