Fitch Ratings said it is considering incorporating the strength of an insurer's regulatory scheme into the methodology it uses to rate the financial health of insurance companies.
Fitch said it is seeking feedback from interested parties no later than Jan. 31, 2006. A final methodology report that incorporates any relevant market feedback is expected to be published in first-quarter 2006, Fitch said.
At its core, the agency explained, the new methodology aims to better define how the two most significant drivers of credit risk–the probability of default and recovery given a default–impact ratings, and how the two are weighted in the context of "expected loss."
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