@article {L{\"o}ffler38, author = {Gunter L{\"o}ffler}, title = {The Complementary Nature of Ratings and Market-Based Measures of Default Risk}, volume = {17}, number = {1}, pages = {38--47}, year = {2007}, doi = {10.3905/jfi.2007.688964}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Agency ratings and market-based measures of default risk are useful complements. Combining the two improves the prediction of defaults over the use of a single measure. While in-sample analysis suggests that one should give more weight to ratings as the horizon increases, or issuers become less risky, a simple equal-weight combination of ratings and market-based measures is hard to beat out of sample. The results suggest that both ratings and market-based measures provide genuine information of their own.TOPICS: Fixed income and structured finance, credit risk management, analysis of individual factors/risk premia}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/17/1/38}, eprint = {https://jfi.pm-research.com/content/17/1/38.full.pdf}, journal = {The Journal of Fixed Income} }