Non-Markov Effects and Property-Liability Insurer Rating Transitions

2010 ◽  
Author(s):  
Yuling Wang ◽  
James M. Carson
Keyword(s):  
Rating Transitions ◽  
Insurer Rating

Macroeconomic Factors and Insurer Rating Transitions

2010 ◽  
Author(s):  
Yuling Wang ◽  
James M. Carson
Keyword(s):  
Macroeconomic Factors ◽  
Rating Transitions ◽  
Insurer Rating

The Real Nature of Credit Rating Transitions

2008 ◽  
Author(s):  
Axel Eisenkopf
Keyword(s):  
Credit Rating ◽  
The Real ◽  
Real Nature ◽  
Rating Transitions

A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transitions

2006 ◽  
Author(s):  
Nicholas M. Kiefer ◽  
C. Erik Larson
Keyword(s):  
Credit Rating ◽  
Rating Transitions

scholarly journals Sparse Structural Approach for Rating Transitions

2017 ◽  
Author(s):  
Volodymyr Perederiy
Keyword(s):  
Structural Approach ◽  
Rating Transitions

An Analytic Approach to Rating Transitions

2004 ◽  
pp. 187-214 ◽  
Author(s):  
Carsten Binnenhei
Keyword(s):  
Analytic Approach ◽  
Rating Transitions

Stability of rating transitions

2000 ◽  
Vol 24 (1-2) ◽  
pp. 203-227 ◽  
Author(s):  
Pamela Nickell ◽  
William Perraudin ◽  
Simone Varotto
Keyword(s):  
Rating Transitions

scholarly journals COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

2013 ◽  
Vol 16 (02) ◽  
pp. 1350009 ◽  
Author(s):  
TOMASZ R. BIELECKI ◽  
IGOR CIALENCO ◽  
ISMAIL IYIGUNLER
Keyword(s):  
Credit Ratings ◽  
Counterparty Risk ◽  
Credit Valuation Adjustment ◽  
Rating Transitions ◽  
Markovian Approach

In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties — an investor and a counterparty. Moreover, we model the margin process as a functional of the credit ratings of the counterparty and the investor. We employ a Markovian approach for modeling of the rating transitions of the two parties to the contract. In this framework, we derive the representation for bilateral CVA. We also introduce a new component in the decomposition of the counterparty risky price: namely the rating valuation adjustment (RVA) that accounts for the rating triggers. We give two examples of dynamic collateralization schemes where the margin thresholds are linked to the credit ratings of the parties. Our results are illustrated via computation of various counterparty risk adjustments for a CDS contract and for an IRS contract.

scholarly journals Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries

2016 ◽  
Vol 49 (3) ◽  
pp. 499-516 ◽  
Author(s):  
D. V. Boreiko ◽  
Y. M. Kaniovski ◽  
G. Ch. Pflug
Keyword(s):  
Numerical Modeling ◽  
Credit Rating ◽  
Rating Transitions

An Investigation of the Short-Run and Long-Run Stock Returns Surrounding Insurer Rating Changes

2016 ◽  
Vol 85 (1) ◽  
pp. 35-67 ◽  
Author(s):  
Leon Chen ◽  
Jennifer J. Gaver ◽  
Steven W. Pottier
Keyword(s):  
Stock Returns ◽  
Long Run ◽  
Short Run ◽  
Rating Changes ◽  
Insurer Rating
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