Fitch unveils index of rating change
Fitch Ratings launched its new European structured finance index of rating change in November. The index takes a weighted approach to assessing the impact of rating changes in the European structured finance market.
Rather than using a straightforward count of the numbers of upgrades and downgrades, the index weights rating actions by the value of the affected tranche outstanding. It also provides an estimate of the change in the weighted average probability of default of the market.
Fitch
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