The credit rating is a qualitative evaluation of the credit worthiness of a borrower (consumer, company or government) done by a rating agency, a credit bureau or a bank that consists of an estimate of the borrower's capacity to to pay back the debt.

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Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
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How do you quantify credit risk?

I am trying to figure out how to quantify the change in price on a bond for a change in credit risk. I'm not even sure how to quantify a change in credit risk, but I'm thinking possibly something ...
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Moody's, S&P, Fitch revenues FOR COUNTRY!

I need a variable which identifies the possible conflict of interests between credit rating agencies and countries, although they do not pay in order to be rated. Such a variable could be the ...
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is there a mapping from Altman Z-score for private companies to bond ratings or probability of default?

On wikipedia, there is a formula to calculate the Altman Z-score for private companies: Z-score estimated for private firms: T1 = (Current Assets − Current Liabilities) / Total Assets T2 = Retained ...
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Credit Rating vs Bond Yield

I am looking for some references on quantifying the dependence between credit rating and bond yield. I have some data (found some Bloomberg indices which give average yield based on credit rating), ...
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Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries

A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...
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306 views

Obtaining the default probability and recovery rate for each credit rating?

I have the following questions for obtaining the credit rating: Given that I have cumulative default probability of each credit rating from Global Corporate Average Cumulative Default Rates (1982-...
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Credit Risk Modelling for Portfolio of Bonds and CDS's

I have a portfolio of bonds and CDS's. I want to compute some statistical measures (VaR, CVaR, CreditVaR) which may help access the risk of the portfolio. So far, I have used the CreditMetrics (...
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Determining Monthly Premium with Credit default swap

I hold a 10 year, $100 million bond. In order to minimize risk, I enter into a credit default swap in which I am paid every time (monthly) the bond rating drops to a new low. I have the probabilities ...