Predefined Rating Scales ======================== The transitionMatrix package supports a variety of credit rating scales. They are grouped together in :mod:`transitionMatrix.creditratings.creditsystems`. The key ones are described here in more detail. Rating Scales currently covered -------------------------------- The focus of the current selection is on *long-term issuer* ratings scales (others will be added): - AM Best Europe-Rating Services Ltd. - ARC Ratings S.A. - Cerved Rating Agency S.p.A. - Creditreform Rating AG - DBRS Ratings Limited - Fitch Ratings - Moody’s Investors Service - Scope Ratings AG - Standard & Poor’s Ratings Services Data per Scale ------------------------------------------- Each rating scale is a StateSpace (see :ref:`State Spaces`) and thus inherits the attributes and methods of that object, namely: - The entity defining the scale (the originating entity) - The full name of the scale (as most originators of rating scales offer multiple scales with different meaning an/or use) - The definition of the scale (as a list of tuples in the form [('0', 'X1'), ... , ('N-1', 'XN)] where X are the symbols used to denote the credit state - The CQS (credit quality step) mapping of the scale as defined by regulatory authorities (see next section) CQS Mappings ------------ The Credit Quality Step (CQS) denotes a standardised indicator of Credit Risk that is recognized in the European Union * The CQS Credit Rating Scale is based on numbers, ranging from 1 to 6. * 1 is the highest quality, 6 is the lowest quality The European Supervisory Authorities maintain mappings between credit rating agencies and CQS .. note:: Consult the original documents from definitive mappings available at the `EBA Website `_ The Rating Agency State Spaces and mappings are obtained from the latest (20 May 2019) Regulatory Reference: :: JC 2018 11, FINAL REPORT: REVISED DRAFT ITS ON THE MAPPING OF ECAIS’ CREDIT ASSESSMENTS UNDER CRR Example of Label Conversion """""""""""""""""""""""""""" Convert labels between credit rating scales .. image:: ../../examples/scale_conversions.png