20 Oct

Marmi, S., Nassigh, A. and Regoli, D. (2014). Sovereign Ratings Implied by Coupled CDS-Bond Market Data

Abstract
We propose an approach to sovereign market implied ratings based on information coming both from Credit Default Swap spreads and bond spreads in a unified way. Operationally speaking, we implement a Support Vector Machine type of selection in the plane CDS-bond. Our numerical results seem to confirm that introducing the bond dimension accounts for implied ratings more accurate and with greater predictive power with respect to the 1-dimensional CDS implied ratings.

Available at http://ssrn.com/abstract=2512238