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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59 views

Estimating credit transition probabilities from additional information

Let say $P_{i,j}, j = 1,2,3, DEF$ are the probabilities of transitions from an initial rating $i$ to rating $j$, where $P_{i, DEF}$ represents the default probability from that initial rating. Now let ...
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Efficient encoding technique for credit ratings

Is there any categorical encoding technique for credit ratings that take into account the kind of non linear nature of the notches of the credit ratings? The literature standard is the ordinal one ...
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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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Why investment grade floor is set at Baa3/BBB-?

I have studied methodologies for Moody's and S&P ratings but haven't seen any instance where the respective agencies have mentioned the reason choosing Baa3/BBB- as the dividing line between ...
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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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Credit spreads adjusted for rating migration and default

Given the below 1-year rating transition matrix and cumulative default rates, I am interested in calculating credit spread adjusted for defaults so I can compare this with the outright credit spread. ...
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Where can I find recent tables with the average cumulative default rates?

I'm mostly interested in Moody's average corporate cumulative default rates, possibly in 2020 or the latest version. I tried to take a look at Moody's website but I am still in trouble. The latest ...
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Observed rating migration matrix to derive the generator matrix

I am doing some reading on the derivation of credit rating migration/transition matrices and probability of default term structures. I understand that a homogeneous Markov chain can be either discrete-...
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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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Calculation of the Transition matrix for Credit rating

Let say, I have Cumulative default rates for various credit rating as below - Given this, how can I calculate the typical ...
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Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

Is there any API out there that can get Credit Rating? Not just contries, but also for companies. I found this question on quant stack exchange. But it's not an easy API. definition: A credit rating ...
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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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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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2 votes
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A model for probability of credit rating change for a single issuer

I am looking to model the probability of a single issuer upgrading or downgrading it's credit rating at some time using historical data. I have done research and everything I have found so far are for ...
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Historical data on european corporate bonds [duplicate]

I am trying to run a factor analysis on European corporate bonds and I need historical data since mid - late 90s on : 1.bonds listed 2.spread 3.firm´s total debt at the time 4.Sector of firm 5....
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2 answers
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Why would Basel III prevent price discovery at credit markets?

I'm referring to this interview with Michael Burry. He says: Central banks and Basel III have more or less removed price discovery from the credit markets. Why would Basel III cause this effect?
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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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1 answer
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Mapping internal ratings to external ratings for a scorecard

I am building an internal rating model for commercial loans relying on expert-based scorecards. The ultimate goal of the exercise is to develop the model so that it maps with credit rating agencies' ...
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1 answer
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Calculate the implied loss rate on a loan, given the interest charged

My bank has a retail credit portfolio of 100 million in loans. I know the payment history,balance history of all these loans since inception. Are there any tools to calculate an expected loss, a loss ...
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Standardized numerical values for ratings

Is there a standardized way of transforming the ratings of any of the major ratings agencies (S&P, Moody's, Fitch) to a numerical value. Ideally, it might be possible to create a similar scale for ...
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Visualising credit rating stability

I am looking for a way to visualize credit rating stability results. Some background: Per rating class (e.g. AAA, AA+, AA, AA-, A+, ...), I look at the percentage of obligors that keep their rating ...
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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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How to calculate credit spread from rating

I've been trying to calculate the credit spread of a financial institution with a Fitch rate of A. By using the transition matrix (https://www.fitchratings.com/web_content/nrsro/nav/NRSRO_Exhibit-1....
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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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Altman Z-Score model for PD calculation [duplicate]

I am approaching you with one important for me question. I have a task to calculate probability of default for our clients. I used an Altman Z-Score model to calculate the Z-Scores for each client. ...
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Probability of default

I have to calculate probability of default (PD) rates for our clients (I am working in a Bank) based on clients' financials. Could you, please, advise me how to do that? I think we have two Options: ...
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1 answer
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How do I use machine learning to build a credit scoring model? [closed]

There are currently a lot of ways for credit scoring. The most popular one is the FICO score, and its variants. For my masters thesis, I would like to work on making my own credit scoring system using ...
2 votes
2 answers
355 views

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 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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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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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?
2 votes
1 answer
296 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!
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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 ...
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1 answer
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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) ...
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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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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 ...
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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 ...
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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 ...
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1 answer
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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 ...
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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?
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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): ...
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1 answer
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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 votes
1 answer
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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 ...
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