A market-implied rating estimates the market observed default probability of an individual, corporation, or even a country. Indeed, a credit rating is simply a probability of default. The methodology used by Moodys consists in a median piecewise fit of the ratings to the credit default swap data observed on the market. S&P however uses a log regression between the log cds and the ratings equivalent number, adjusted to firm specifics, continent, and outlook.
See also Alternative data Credit risk Default (finance) Credit history Credit score Risk-based pricing
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