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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Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources Data sources online does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (other than as ...
7
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1answer
62 views

Who pays for sovereign ratings?

Does the "issuer-pay" model hold also for sovereign credit ratings? Do States pay for having their bond being rated?
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0answers
253 views

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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4answers
623 views

Could we have prevented the World Economic Crisis in 2008?

There is an expression - "Too big to fall." - which means that if a bank or a financial institution manages a sufficient part of the financial assets than the state can't afford that this bank or ...
5
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1answer
180 views

Term structure of default probabilities without market data

With the forthcoming new regulations, IFRS9, financial institutions will be required to model life time expected credit losses. Consequently, it is necessary to model the term structure of default ...
4
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4answers
781 views

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
4
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1answer
481 views

How do I get the average transition matrix for three consecutive years?

I have a one year transition matrix for three consecutive years. Multiplying these three matrices together yields the three year transition matrix. I want to obtain the average transition matrix for ...
4
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1answer
138 views

Fitting transition matrices in R by solving for coefficient

I'm using various matrices to impute a fitted transition matrix for credit ratings by solving for a variable [S]. Essentially the idea is to determine a base matrix and stress matrix to compare to a ...
4
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1answer
250 views

What structural model does Reuters use for default probability?

When using Reuters, for each listed company there is credit tab that shows relevant information in terms of credit default. There is also rating class as well as one year default probability. It is ...
3
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2answers
158 views

Deriving credit spreads or migration matrices from prob of default

How do I derive credit migration/transition matrices or spreads from default probability? May you please provide references, or do you know what type of articles or authors to find?
3
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1answer
176 views

Do bond credit ratings suffer from “ratings inflation”?

A friend of mine who studies game theory suggested that credit ratings from the bond ratings agencies, such as Moody's, S&P, and Fitch, may suffer from a sort of "ratings inflation" similar to the ...
3
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1answer
528 views

Scaling of a transition matrix

I am working on a ratings transition matrix and I wondered how people scale it down to shorter time periods (although one should more or less stick to the estimation period i know). It is clear that ...
3
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1answer
66 views

Why Beta Distribution for Credit Migration

When modelling credit migration probabilities (e.g. AAA to AA), research has indicated the use of the Beta Distribution simply because it fits empirical data. My question is; What are some other pros ...
3
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1answer
84 views

Sovereign Credit Rating

I am working on the determinants of sovereign credit rating. I am looking for the historical rating data-set for euro-zone ...
3
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0answers
173 views

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), ...
2
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1answer
431 views

Moody's Sovereign Ratings: Clarification on Definitions and Symbols

I'm working with sovereign ratings at present. With regard to Moody's there are a few things unclear to me in their definitions. Both questions refer to the sovereign rating history in Bloomberg CSDR (...
2
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3answers
252 views

Interpolating probabilities of default

I have a table of cumulative probabilities of default of industrial bonds, in time and credit rating. It is similar to S&P whitepaper here. Basically, it looks like this (sample numbers): ...
2
votes
1answer
212 views

How to perform significance test on transition matrices

Say you have in your hand a transition matrix published by Moody, and you also collected the rating information for a sample of bonds, which you use to form your own transition matrix. How can we use ...
2
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1answer
42 views

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!
2
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0answers
131 views

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 ...
2
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0answers
302 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-...
2
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1answer
79 views

Creditworthiness indicator for copula one-factor model

In this paper in equation 15 on page 261 dealing with one factor copula model, one is using creditworthiness indicator as one of a variables. It is defined as \begin{equation} Y_c = \sqrt{\rho_c} Z +...
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2answers
187 views

moody's credit ratings for senior unsecured bonds

Can 2 senior unsecured bonds from the same obligor have different moody's credit ratings? Or do they both have to have the same rating because they are in the same capital structure? Thanks
1
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1answer
30 views

Modeling credit utilization and stock market growth

I relatively new to financial mathematics but I am wondering if at all there exists a relationship between credit utilization (the rate at which the public accesses credit from financial institutions) ...
0
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1answer
2k views

S&P's Sovereign Ratings: Clarification on Definitions and Symbols

Similar to a question I asked earlier on, but I am now looking at S&P's sovereign ratings. Here, as in the case of Moody's, a few things are unclear to me in terms of the definitions used by ...
0
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1answer
17 views

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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0answers
25 views

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 (...
0
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1answer
19 views

Yield Curve Movement: Risk/Reward versus Safe Haven Demand & Monetary Policy Expectations

UK leaves Europe, credit rating get's downgraded. High uncertainty, higher perceived risk - based on just risk/reward, would expect yields on UK debt to increase. They did the opposite. UK government ...
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0answers
20 views

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 ...