scholarly journals Credit Risk Rating System of Small Enterprises Based on the Index Importance

2017 ◽  
Vol 11 (6) ◽  
pp. 35-52 ◽  
Author(s):  
Chi Guotai ◽  
Zhao Zhichong ◽  
Mohammad Zoynul Abedin
Keyword(s):  
Credit Risk ◽  
Rating System ◽  
Small Enterprises ◽  
Risk Rating

scholarly journals Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities

2019 ◽  
Vol 12 (3) ◽  
pp. 124 ◽  
Author(s):  
Takeaki Kariya ◽  
Yoshiro Yamamura ◽  
Koji Inui
Keyword(s):  
Credit Risk ◽  
Term Structure ◽  
Credit Rating ◽  
Default Probability ◽  
Corporate Bond ◽  
Rating System ◽  
Financial Industry ◽  
Cross Sectional ◽  
Risk Rating ◽  
Rating Method

Undoubtedly, it is important to have an empirically effective credit risk rating method for decision-making in the financial industry, business, and even government. In our approach, for each corporate bond (CB) and its issuer, we first propose a credit risk rating (Crisk-rating) system with rating intervals for the standardized credit risk price spread (S-CRiPS) measure presented by Kariya et al. (2015), where credit information is based on the CRiPS measure, which is the difference between the CB price and its government bond (GB)-equivalent CB price. Second, for each Crisk-homogeneous class obtained through the Crisk-rating system, a term structure of default probability (TSDP) is derived via the CB-pricing model proposed in Kariya (2013), which transforms the Crisk level of each class into a default probability, showing the default likelihood over a future time horizon, in which 1545 Japanese CB prices, as of August 2010, are analyzed. To carry it out, the cross-sectional model of pricing government bonds with high empirical performance is required to get high-precision CRiPS and S-CRiPS measures. The effectiveness of our GB model and the S-CRiPS measure have been demonstrated with Japanese and United States GB prices in our papers and with an evaluation of the credit risk of the GBs of five countries in the EU and CBs issued by US energy firms in Kariya et al. (2016a, b). Our Crisk-rating system with rating intervals is tested with the distribution of the ratings of the 1545 CBs, a specific agency’s credit rating, and the ratings of groups obtained via a three-stage cluster analysis.

scholarly journals Evaluation of Risk Assessment of Mountain Pine Beetle Infestations

2006 ◽  
Vol 21 (1) ◽  
pp. 5-13 ◽  
Author(s):  
Caren C. Dymond ◽  
Michael A. Wulder ◽  
Terry L. Shore ◽  
Trisalyn Nelson ◽  
Barry Boots ◽  
...  
Keyword(s):  
High Risk ◽  
Mountain Pine Beetle ◽  
Rating System ◽  
Annual Data ◽  
Positioning Systems ◽  
Risk Rating ◽  
Mountain Pine ◽  
Pine Beetle ◽  
Global Positioning ◽  
Pine Beetles

Abstract Decision support systems to aid the management of mountain pine beetles combine characteristics of the stand and beetle infestation to estimate risk of damage. Beetle infestation information is now available in a format amenable to the operational implementation of risk. In this study, an established risk rating system was evaluated to determine the utility of the values generated. For a study area located in British Columbia, Canada, global positioning systems were used to survey an infestation. The annual data was used to generate risk for a given year and to compare the ratings with survey data from the subsequent year. Under epidemic conditions, 30% to 43% of the stands rated as high risk were subsequently infested. Of the infested stands, 72% to 76% had a high risk rating. In general, the risk rating system accurately predicted risk in stands that were infested, but not all high risk stands were subsequently attacked. This highlights the difficulty of modeling processes that have a stochastic component. For operational contexts, the estimation of risk on an annual basis is sufficiently reliable to aid in the strategic planning of forest managers.

Country credit-risk rating aggregation via the separation-deviation model†

2008 ◽  
Vol 23 (5) ◽  
pp. 741-762 ◽  
Author(s):  
Dorit S. Hochbaum ◽  
Erick Moreno-Centeno
Keyword(s):  
Credit Risk ◽  
Risk Rating

scholarly journals Risk Rating System of X.509 Certificates

2016 ◽  
Vol 89 ◽  
pp. 152-161
Author(s):  
Varsharani Hawanna ◽  
V.Y. Kulkarni ◽  
R.A. Rane ◽  
P. Mestri ◽  
S. Panchal
Keyword(s):  
Rating System ◽  
Risk Rating

scholarly journals Bank Credit Risk Rating Process: Is There a Change With the 2007-09 Crisis?

2021 ◽  
Vol 12 (5) ◽  
pp. 41
Author(s):  
Emna Damak
Keyword(s):  
Credit Risk ◽  
Credit Rating ◽  
Lessons Learned ◽  
Bank Credit ◽  
Rating Agencies ◽  
Risk Rating ◽  
Rating Process ◽  
Before And After ◽  
Relevant Variables ◽  
Rating Changes

The purpose of this article is to study empirically the bank credit risk rating (BCRR) process over time using 89 banks from 27 EMENA countries rated by S&P’s simultaneously before and after 2007-09 crises. We made this comparison based on the CAMELS model with a proposed ‘S’ to BCRR. We use "ordered logit" regression for the rating classes and we complete our analysis by “linear multiple” regression for the rating grades. The results show that the rating changes in 2012 are mainly a methodology revision consequence of the entire rating process changes, including the weight of components, the important factors and the relevant variables in order to take into account some of the lessons learned from this global crisis. They also show a consistence between the BCRR's revealed and practiced methodologies revised by the credit rating agencies (CRAs).

scholarly journals Corporate Payments Networks and Credit Risk Rating

2018 ◽  
Author(s):  
Elisa Letizia ◽  
Fabrizio Lillo
Keyword(s):  
Credit Risk ◽  
Risk Rating
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