FBLE: A Feature-based Label Enhancement Method for Corporate Bond Credit Rating Prediction

2021 ◽  
Author(s):  
Yingjie Liu ◽  
Xueyang Liu ◽  
Wenhui Hu ◽  
Minghui Zhang ◽  
Dongdong Du ◽  
...  
Keyword(s):  
Credit Rating ◽  
Corporate Bond ◽  
Enhancement Method ◽  
Feature Based ◽  
Rating Prediction

scholarly journals Does the Financial Status of Company Affect the Bond Credit Rating? ——Empirical Evidence from China's Shanghai and Shenzhen Stock Exchanges

2021 ◽  
Vol 4 (1) ◽  
Author(s):  
Yuyan Cai
Keyword(s):  
Credit Rating ◽  
Credit Ratings ◽  
Corporate Bonds ◽  
Principal Component ◽  
Corporate Bond ◽  
Stock Exchanges ◽  
Analysis Method ◽  
Financial Status ◽  
Financial Variables ◽  
The Impact

This article takes the companies that publicly issued corporate bonds on the Shanghai and Shenzhen Stock Exchanges from 2006 to 2018 as the research objects selecting six aspects that comprehensively reflect the 17 financial variables in 6 aspects: profitability, operating ability, bond repayment ability, development ability, cash flow and market value of the company. Principal component analysis method and factor analysis method are used to extract the principal factors of these financial indicator variables. That is how an ordered multi-classification Logistic regression model is constructed to test the impact of the Shanghai and Shenzhen Stock Exchanges’ financial status on the corporate bond credit rating. It turns out that the financial status of the Shanghai and Shenzhen Stock Exchanges have an important impact on the credit rating of corporate bonds. The financial status has a greater impact on corporate bonds with credit ratings of A- and AA-, while it has a smaller impact on corporate bonds with credit ratings above AA. The results of this article can help individual and institutional investors prevent risks from investing.

scholarly journals On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate

2018 ◽  
Vol 11 (4) ◽  
pp. 87 ◽  
Author(s):  
Hong-Ming Yin ◽  
Jin Liang ◽  
Yuan Wu
Keyword(s):  
Interest Rate ◽  
Credit Rating ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Stochastic Interest Rate ◽  
Pricing Model ◽  
New Model ◽  
Stochastic Interest ◽  
The Interest Rate ◽  
Rating Change

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to happen a finite number of times during the life-span of the bond. The volatility of a corporate bond price may have a jump when a credit rating for the bond is changed. Moreover, the volatility of the bond is also assumed to depend on the interest rate. This new model improves the previous existing bond models in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kac formula, we obtain a free boundary problem. Global existence and uniqueness are established when the interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and some numerical calculations are shown.

scholarly journals ESG Scores and the Credit Market

2020 ◽  
Vol 12 (8) ◽  
pp. 3456 ◽  
Author(s):  
Ga-Young Jang ◽  
Hyoung-Goo Kang ◽  
Ju-Yeong Lee ◽  
Kyounghun Bae
Keyword(s):  
Small Firms ◽  
Credit Rating ◽  
Credit Ratings ◽  
Debt Financing ◽  
Corporate Bond ◽  
Cost Of Debt ◽  
Rating Agencies ◽  
Bond Returns ◽  
The Cost ◽  
The Relationship

This study analyzes the relationship between Environmental, Social and Governance (ESG) scores and bond returns using the corporate bond data in Korea during the period of 2010 to 2015. We find that ESG scores include valuable information about the downside risk of firms. This effect is particularly salient for the firms with high information asymmetry such as small firms. Interestingly, of the three ESG criteria, only environmental scores show a significant impact on bond returns when interacted with the firm size, suggesting that high environmental scores lower the cost of debt financing for small firms. Finally, ESG is complementary to credit ratings in assessing credit quality as credit ratings cannot explain away ESG effects in predicting future bond returns. This result suggests that credit rating agencies should either integrate ESG scores into their current rating process or produce separate ESG scores which bond investors integrate with the existing credit ratings by themselves.

Weaker euro-area may affect Emerging Europe

2016 ◽  
Keyword(s):  
Euro Area ◽  
Credit Rating ◽  
Emerging Market ◽  
Corporate Bond ◽  
Bond Yields ◽  
Content Type ◽  
Central Eastern Europe ◽  
Political Risks ◽  
Government Bond Markets ◽  
The Uk

Subject The fallout in Central-eastern Europe (CEE) from Brexit. Significance While CEE government bond markets are being supported by investor expectations of further monetary stimulus in response to the uncertainty stemming from the UK decision to leave the EU ('Brexit'), the zloty is suffering from both its status as one of the most actively traded emerging market (EM) currencies and concerns about the policies of Poland's new nationalist government. A sharp Brexit-induced slowdown in the euro-area economy would put other CEE currencies and equity markets under strain. Impacts The ECB's full-blown QE is helping keep government and corporate bond yields in vulnerable southern European economies historically low. Uncertainty generated by Brexit reduces the scope for further US interest rate hikes later this year, lifting sentiment towards EM assets. The Brexit vote will increase investors' sensitivity to political risks, auguring badly for Poland. Poland has already suffered a downgrade to its credit rating mainly as a result of the interventionist policies of the PiS government.

Credit Rating and Liquidity in the US Corporate Bond Market

2019 ◽  
Vol 28 (4) ◽  
pp. 46-59 ◽  
Author(s):  
Antonio Díaz ◽  
Ana Escribano
Keyword(s):  
Credit Rating ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
The Us
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