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10 votes

How do I use machine learning to build a credit scoring model?

One excellent resource is to try Kaggle and to examine some of the competitions, some of which are specifically on the application of machine learning to credit scoring. https://www.kaggle.com/c/...
Dom's user avatar
  • 2,167
10 votes

Why would Basel III prevent price discovery at credit markets?

The argument about Basel is an adjunct to the central bank argument. There, a relatively price-insenstive CB either distorts credit by buying it directly (ECB, Fed wrt Agencies). Or distorts it ...
demully's user avatar
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6 votes

Why investment grade floor is set at Baa3/BBB-?

The differences in credit risk between Moody's Baa2 versus Baa3 versus Ba1 versus Ba2 are all comparable. People would pay much less attention to agency ratings had the regulators not forced them to. ...
Dimitri Vulis's user avatar
5 votes
Accepted

Calculation of the Transition matrix for Credit rating

In order to arrive at an (partial) answer, let us assume that annual credit rating transitions form a Markov chain with absorbing default state $D$. Further, let us assume that we have $K$ non-default ...
Kermittfrog's user avatar
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5 votes
Accepted

Visualising credit rating stability

One option to do it is a heatmap. Not sure which software are you using, but in matlab it is extremely simple to do and powerful to tweak. Below an example. Let's assume there are 30 periods $t$ to $...
phdstudent's user avatar
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4 votes
Accepted

Could we have prevented the World Economic Crisis in 2008?

U.S. Government DID save American International Group (AIG) from bankruptcy, since it was considered too big to fail, actually: a lot of financial institutions were insured by AIG. This Investopedia ...
simmy's user avatar
  • 585
4 votes

Why would Basel III prevent price discovery at credit markets?

Assume, for a moment, that all of the math behind modern portfolio theory is incorrect. See, for example, this video on deriving the distribution of returns. Without the normality assumption, ...
Dave Harris's user avatar
  • 4,299
4 votes

Why investment grade floor is set at Baa3/BBB-?

Yeah, default rate jumps considerably. For example in following, mid value of default rate jumps from 1% to 7.5 % : "COMMISSION IMPLEMENTING REGULATION (EU) 2016/1799 of 7 October 2016 laying ...
Deno's user avatar
  • 41
4 votes

Where to find historical data on corporate credit ratings

I found this link with a lot of parsed data http://ratingshistory.info/
Niki Karaolis's user avatar
3 votes

Mapping internal ratings to external ratings for a scorecard

Assume your outcome/dependant variable is the rating agencies rating category, say 10 to 20 rating categories, you can use ordinal logistic regression which is more natural for this kinda problem. So ...
Magic is in the chain's user avatar
3 votes

Standardized numerical values for ratings

Mapping ordinal data to interval data is arbitrarily. The ranking of rating agencies is ordinal data, so only comparing operators > or ...
skoestlmeier's user avatar
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3 votes
Accepted

Why investment grade floor is set at Baa3/BBB-?

Cumulative default and transition rates for s&p credit ratings can be found here: https://www.spglobal.com/ratings/en/research/articles/210407-default-transition-and-recovery-2020-annual-global-...
AlRacoon's user avatar
  • 6,632
3 votes
Accepted

Assessing Credit Rating Agencies

There are many papers. Here are some random examples: Many of the papers under https://www.michaeljacobsjr.com/research-papers/ http://dx.doi.org/10.2139/ssrn.1466710 Ralf Elsas, Sabine Mielert. ...
Dimitri Vulis's user avatar
2 votes

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

Credit rating agencies all disclose their codes (and a general methodology) online. "The 'u' identifier and 'unsolicited' designation are assigned to credit ratings initiated by parties other than ...
Peacock's user avatar
  • 196
2 votes

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

In this page you have links to download all the historic data from all the agencies. https://www.wikirating.org/wiki/Portal:Data Just scroll down to the "Credit Rating Agency Ratings History Data&...
Alvaro Aguilar's user avatar
2 votes

Moody's, S&P, Fitch revenues per country

Since only Moody's is quoted please find below what I could find on BBG for Moody's: If it is on Bloomberg, then you can find it in its balance-sheet. Have fun :)
MFib's user avatar
  • 81
2 votes

Who pays for sovereign ratings?

The "issuer-pay" model works like this: The Rating Agency goes to the issuer and says "We heard that you are going to issue bonds. We can give you a rating if you pay us XXX dollars. It will help you ...
nbbo2's user avatar
  • 11.4k
2 votes

How do you quantify credit risk?

If there is a CDS on the bond, that might be a good indicator to use, esp. if you want to compare one against another.
wchyk-cyw's user avatar
  • 131
2 votes

Probability of default

Yes, you can. Also, do not use Altman's Z. The extreme scores are predictive, but a load of empirical research shows the intermediate values are not predictive. The best solution is a Bayesian ...
Dave Harris's user avatar
  • 4,299
2 votes

Probability of default

Merton model will be a bit more quantitiative. Z-Score is an option, as is Ohlson. In the end you are going to want some non-defaulted->defaulted transition mapping based on factors you identify as ...
jason m's user avatar
  • 135
2 votes

Could we have prevented the World Economic Crisis in 2008?

Regarding how the rating agencies gave AAA ratings to CDOs and the like that clearly did not deserve those ratings - straightforward answer. The SEC licences all the ratings agencies as "nationally ...
Bikenfly's user avatar
  • 454
2 votes

Credit rating of an Issuer

There is no industry-accepted definition of "Not-rated". It may depend on which rating agency you are talking about. I have seen bankers generally referring to Moody's, S&P and Fitch, ...
Harsh Sharma's user avatar
1 vote

Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

Moodys own CreditEdge API gives credit ratings for corporates as well as other other credit risk data. https://developer.moodysanalytics.com/products/creditedge You have to sign up for an account and ...
ssnarf's user avatar
  • 111
1 vote

Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

If you want yeild for a given rating then FRED (https://fred.stlouisfed.org/series/DBAA) has great data. Most of the others are in Bloomberg or other payment data sources...
Paul Brennan's user avatar
1 vote

Term Structure of Corporate Bond

On Bloomberg: CRVF ("Curve Finder"), pick your country/region then tab 12 for credit. This will give you curves by sector and/or by ratings bucket, though ...
user42108's user avatar
  • 2,272
1 vote

A model for probability of credit rating change for a single issuer

traditional credit rating uses a set of macro and micro factors (country of incorporation political stability, economy, etc. ) and assigns subratings via a set a scorecards, based on the company's ...
John's user avatar
  • 370
1 vote
Accepted

Calculate the implied loss rate on a loan, given the interest charged

If you have access to the payment history then would not it be better to estimate the loss rate using historical payment data? The thing with the interest rate is it will include compensation for a ...
Magic is in the chain's user avatar
1 vote

Standardized numerical values for ratings

One possible approach to mapping these ordinal measures into cardinal measures is to use something like average default probabilities of each of the ratings over the period in question. One can ...
AlRacoon's user avatar
  • 6,632
1 vote

How to calculate credit spread from rating

Assuming you have a transition Matrix, you can obtain a term structure for each rating (AAA,AA,BB,etc...) by a matrix multiplication, as your transition matrix is a Markov Chain. This term Structure ...
Claudio Cuevas Pazos's user avatar

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