point in time 和through the cycle

问题如下：

A newly hired risk analyst at a large commercial bank is studying the methodologies used by banks and external rating agencies to generate and communicate credit ratings of credit instruments, firms, and sovereign issuers. The analyst compares common approaches to producing internal and external ratings, and examines the differences between through-the-cycle and point-in-time ratings. Which of the following statements should the analyst find to be correct?

选项：

A.

As the economy moves from a period of high growth to a period of low growth, a rating produced using a point-in-time approach is more likely to change than a rating produced using a through-the-cycle approach.

B.

A bank's internal ratings are more likely to be produced using a through-the-cycle approach, while ratings from external agencies are more likely to be produced using a point-in-time approach.

C.

External rating agencies use outlooks to indicate a near-term change in a rating, while using watchlists to indicate a medium-term change in a rating.

D.

Banks typically produce internal ratings based solely on a set of financial ratios related to the borrower's leverage and earnings.

解释：

Explanation

A is correct. A through-the-cycle rating tries to capture the average creditworthiness of a firm over a period of several years (and across different phases of the economic cycle), and is therefore less likely to change in response to a cyclical decline in overall economic conditions. By contrast, a point-in-time rating is designed to provide the best current estimate of future default probabilities, and is more likely to change as the economic cycle evolves.

B is incorrect. Consistent with their desire to produce stable ratings, rating agencies produce through-the-cycle estimates. There is a tendency for internal ratings to be point-in-time.

C is incorrect. An outlook is a rating agency's indication of the most likely direction of a rating over the medium term, while placing a rating on a watchlist indicates a relatively short-term change is anticipated (usually within 3 months).

D is incorrect. Banks and other financial institutions typically base their internal ratings on several factors, such as financial ratios, cash flow projections, and an assessment of the firm's management.

Section Valuation and Risk Models

Learning Objective Explain and compare the through-the-cycle and point-in-time internal ratings approaches.

Describe external rating scales, the rating process, and the link between ratings and default.

Compare external and internal ratings approaches.

Reference Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 4. External and Internal Credit Ratings.