Albert Metz, Apr 17, 2012
Following the performance of structured finance securities in general and residential mortgage-backed securities (“RMBS”) related securities in particular, the reputations of the major credit rating agencies-Moody’s, S&P and Fitch-have suffered considerably. The core competency of rating agencies is now sometimes questioned even outside of structured finance. But are investors too quick to dismiss the utility of corporate credit ratings? In this short note I will explore the accuracy of the corporate default forecasts Moody’s has published throughout the recent financial crisis.