Credit risk rating in agricultural producers in Paraguay, 2018

Corporate payments networks and credit risk rating

Understanding the structure of interactions between corporate firms is critical to identify risk concentration and the possible pathways of propagation of financial distress. In this paper we consider the interaction due to payments and, by investigating a large proprietary dataset of Italian firms, we characterize the topological properties of the payment network. We then focus on the relation...

Credit Risk in Lévy Libor Modeling: Rating Based Approach

Preface Modeling of credit risk has become a very important and rapidly expanding field of mathematical finance in the last fifteen years. Apart from a purely academic interest, the credit derivatives industry clearly needs advanced mathematical models to objectively assess and hedge this kind of risk, which was only underlined by the recent financial crisis. Although there exist several credit...

Feasibility Study of Credit Risk Rating Systems in Banks

Credit Risk Migration Experienced By Agricultural Lenders

Loan records and lender credit risk classifications are used to examine agricultural credit risk migration. The results include estimates of the likelihood of borrowers transitioning among five credit risk tiers. The paper also examines factors that influence or predict credit risk migration and its impact on loan pricing.

Predicting Credit Rating and Credit Rating Changes: A New Approach

In this paper, we propose a hazard rate model for studying credit rating and credit rating changes. Theoretically the hazard rate model is more appropriate than the previous static models. Yet it is difficult to estimate hazard rate model, especially when the covariates are time-varying. This paper extends the results of Shumway(2001) and shows that a multiple-state hazard rate model can be est...