Questions tagged [credit-ratings]

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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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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Historical Credit Ratings for companies

I am looking forward to get my master thesis done. I have acces to Thomson Reuters Eikon. Unfortunately, they do not provide a good database with historical credit ratings - at least it is not ...
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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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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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Why do rating grades have different PD ranges?

The following shows link how to map a PD to a S&P rating: S&P Rating PD range [%] AAA [0-0.05) AA [0.05-0.09) A [0.09-0.23) BBB [0.23-1.16) BB [1.16-5.44) B [5.44-4.21) CCC [14.21-) I ...
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Term Structure of Corporate Bond

I am looking for some clarity on data for Corporate Bond term structure based on Credit Rating. Let say, I need to get the Term ...
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Mapping FICO score to PD or Moody's Rating

I need to analyze the risk of a fund with various types of credits, such as consumer, student, and real estate. These categories all have FICO credit scores. I need to assess the risk of the fund ...
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ETF ranking/rating?

Is it possible to rank/rate ETFs from the standpoint of their riskiness? I am aware of Morningstar's star-based ratings, but based on my limited research they seem to take into account only returns ...
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PD validation in the low/no default setting

The topic of this question is the validation as prescribed in the Basel N ($N \ge 2$) framework. The task is given the probability of default $p_k$ for $K$ rating classes at time $t$ and the outcome ...
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Three-state Markov Chain: Credit rating question

Consider a credit-rating system, with two solvency states (A & B) and a default state (D), and assuming recovery rate and interest rate are 0%. The one year credit spread for an A-rated company ...
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Credit rating of an Issuer

When to analysing historical movement of credit rating, sometime credit rating is put as Non-rated or NR. Is there any industry acceptance definition of ...
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Credit risk migration

I got an excel file containing the credit risk data regarding ID, credit score, PD, LGD, original exposure, EAD, RWA, Expected loss, and Required capital. Question: The user has a number of ...
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Credit rating of a company

Typically there are quite a few providers of Credit rating for different companies e.g. Crisil, S&P, Moodys etc. However I observed that, as part of risk management, different banks also derive ...
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PD estimation methods

Could someone explain me or suggest a good reference how to categorize the PD calculation methods without going to deep in the details? I learned on riskmanagement lecture, that there are three major ...
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Time series data for probability of default (or credit ratings)

I'm currently investigating potential correlations among ESG ratings and credit ratings; more in particular, i'm trying to understand whether such correlation evolved during the last 20 (?) years, and ...
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Market Data on Corporate bond yield

I am looking for some historical data on the Corporate bond yield time series for different Credit ratings and maturities which typically S&P/Moody's offers. Is there any possibilities to get such ...
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What are some tools to help optimize size of an ABS portfolio with many constraints?

What are some tools (python preferred) used in the ABS industry to optimize the size of a credit portfolio, given many constraints? Constraints can be things like Weighted Average Credit Metric (e.g. ...
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Mapping bank credit score to PD

I currently work in a bank so I do have some of the required information that is my bank (internal) assigned credit score and the calculated probability of default for every company. My question is ...
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Where to find historical sovereign credit ratings

For my master thesis i am looking for a historical time series of sovereign credit ratings for all countries from Moodys, Fitch or S&P. I have access to Eikon reuters but i cannot seem to find a ...
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Moody's, S&P, Fitch revenues per 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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