Mensuração de credit rating

Por Pedro Correia

Felix Salmon mostra a diferença da mensuração do risco de inadimplemento realizada pela Standard and Poor's e a Moody's. A nota de rating de ambas as agências, é dada em função de diferentes critérios de mensuração. A S&P calcula a probabilidade de default (calote), enquanto a Moody's calcula a expectativa (possibilidade)de perda para o investidor.

Amidst all the downgrade talk, one crucial point has been largely missing: there’s a very good reason why it was S&P, and not Moody’s, which downgraded the US. It’s this: the two companies don’t measure the same thing with their credit ratings.

An S&P ratings seeks to measure only the probability of default. Nothing else matters — not the time that the issuer is likely to remain in default, not the expected way in which the default will be resolved. Most importantly, S&P simply doesn’t care what the recovery value is — the amount of money that investors end up with after the issuer has defaulted.

Moody’s, by contrast, is interested not in default probability per se, but rather expected losses. Default probability is part of the total expected loss — but then you have to also take into account what’s likely to happen if and when a default occurs.

The difference, as it applies to the US sovereign credit rating, is enormous. No one doubts America’s ability to pay its debts, and if the US should ever find itself in a position where it’s forced by law to default on a bond payment, that default is certain to be only temporary. Bondholders would get all of their money, in full, within a couple of weeks, and probably within a few days.

(...)Moody’s, by contrast, appreciates that bonds are investment instruments, and tries to build into its ratings the likelihood that investors will end up getting all their money back at the end of the day, rather than simply measuring how likely it is that there might be a default.

(...)Sovereign defaults are always political, rather than economic: if you looked only at macroeconomic ratios, then Ecuador should be investment grade, as would just about any other country which has recently defaulted and wiped out most of its debt. A sovereign credit rating is therefore primarily a function of a country’s willingness to pay, rather than its ability to pay.