Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

2006 ◽  
Author(s):  
Stephen Figlewski ◽  
Halina Frydman ◽  
Weijian Liang
Keyword(s):  
Credit Rating ◽  
Macroeconomic Factors ◽  
Corporate Default ◽  
Rating Transitions

Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

2012 ◽  
Vol 21 (1) ◽  
pp. 87-105 ◽  
Author(s):  
Stephen Figlewski ◽  
Halina Frydman ◽  
Weijian Liang
Keyword(s):  
Credit Rating ◽  
Macroeconomic Factors ◽  
Corporate Default ◽  
Rating Transitions

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 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

Random effects model for credit rating transitions

2008 ◽  
Vol 184 (2) ◽  
pp. 561-573 ◽  
Author(s):  
Yoonseong Kim ◽  
So Young Sohn
Keyword(s):  
Random Effects ◽  
Credit Rating ◽  
Random Effects Model ◽  
Rating Transitions

scholarly journals Macroeconomic aspects of banks’ credit ratings

Equilibrium ◽  
2017 ◽  
Vol 12 (1) ◽  
pp. 101 ◽  
Author(s):  
Patrycja Chodnicka-Jaworska
Keyword(s):  
Banking Sector ◽  
Credit Rating ◽  
Risk Estimation ◽  
Credit Ratings ◽  
Value Added ◽  
Positive Influence ◽  
Macroeconomic Factors ◽  
New Information ◽  
Standard And Poor's ◽  
The Impact

Research background: The practical analysis suggests that credit ratings are especially significant for banks. The literature review suggests that in previous analysis researchers usually took into consideration financial factors of the banks’ credit ratings methodology. This article analyses the impact of macroeconomic factors on the banks’ credit ratings. Purpose of the article: The paper examines and analyses the impact of the macroeconomic risk factors on the credit ratings received by banks. In the article, the methodology of credit risk assessment proposed by Moody’s Investor Service and Standard and Poor’s Financial Service is presented. Two hypotheses are put herein. The first one is: Changes in countries’ credit ratings convey new information and influence on banks’ financial condition. The second hypothesis is: A highly-developed, stable economy with an advanced financial market has a positive influence on banks’ credit rating assessment. Methods: The study used banks’ and countries’ ratings assigned by Standard and Poor's and Moody's for the period from 1 January 2005 to 1 January 2016. To verify the hypotheses static panel data models have been applied. Findings and Value added: In credit rating agencies guidelines and previous research, the impact of countries’ credit ratings on those received by banks is not indicated. The impact of macroeconomic factors has not been verified. The analysis confirms that changes in countries’ credit ratings convey new information and influence the banks’ environment condition. But only for the assessment given by S and P the condition of banking sector is an important group of factors. For all verified types of credit ratings the risk of country is presented by countries’ credit rating, not by particular factors. These analyses suggest that during the risk estimation process prepared by banks, a country’s risk represented by its credit ratings should be taken into consideration more often than particular macroeconomic factors.

Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

2017 ◽  
pp. 525-531
Author(s):  
Dmitri V. Boreiko ◽  
Yuri M. Kaniovski ◽  
Georg Ch. Pflug
Keyword(s):  
Credit Rating ◽  
Rating Transitions

scholarly journals Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

2015 ◽  
Vol 24 (4) ◽  
pp. 989-1007 ◽  
Author(s):  
D. V. Boreiko ◽  
Y. M. Kaniovski ◽  
G. Ch. Pflug
Keyword(s):  
Empirical Evidence ◽  
Credit Rating ◽  
Rating Transitions

Macroeconomic Factors and Insurer Rating Transitions

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