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.

13 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4
votes
0answers
291 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
votes
0answers
168 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
votes
0answers
424 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-...
1
vote
0answers
14 views

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-...
1
vote
0answers
39 views

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 ...
1
vote
0answers
125 views

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 ...
1
vote
0answers
46 views

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 ...
1
vote
0answers
117 views

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 ...
1
vote
0answers
207 views

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 ...
0
votes
0answers
16 views

Calculation of the Transition probabilities for Credit risk calculation

Typically the Transition probabilities for Credit migrations in a typical Transition matrix are given in ...
0
votes
1answer
60 views

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 ...
0
votes
0answers
39 views

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 ...
0
votes
1answer
224 views

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 ...