Despite intense criticism, agency credit ratings are still widely used in regulation and risk management. One possible alternative is to replace them with quantitative default risk measures. For US data, I find that systemically relevant losses from corporate defaults are mostly smaller if risk-taking in portfolios is limited with the help of default probability estimates from the Credit Research Initiative rather than through Moody’s ratings. The results continue to hold when investors follow a regulatory arbitrage strategy that tilts portfolios toward issuers with high systematic risk. I further show that combining information from both measures can lead to a systemic risk profile that is more favorable than can be achieved by using only one.

尽管受到强烈批评，但机构信用评级仍广泛用于监管和风险管理中。一种可能的替代方法是将其替换为定量的默认风险度量。对于美国的数据，我发现，如果借助信贷研究计划（Credit Research Initiative）的违约概率估算（而非穆迪评级）来限制投资组合的风险承担，则企业违约的系统相关损失通常会较小。当投资者遵循监管套利策略时，结果继续保持下去，该策略使投资组合倾向于具有高系统风险的发行人。我进一步表明，将两种方法的信息结合起来可以产生比仅使用一种方法更有利的系统性风险状况。