Numerical estimates of risk factors contingent on credit ratings

Ratings-Based Models of Credit Risk

Credit Ratings and Credit Risk: Is One Measure Enough?

This paper investigates the information in corporate credit ratings from a positive and normative perspective. If ratings are to be informative indicators of credit risk they must reflect what a risk-averse investor cares about: both raw default probability and systematic risk. We find that ratings are inaccurate measures of raw default probability they are dominated as predictors of failure by...

Credit Ratings and Firm Litigation Risk

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Cyclical Effects in Credit Risk Ratings and Default Risk*

It has long been recognised that banking is a procyclical business. That is, banks tend to contract their lending activity when there are business downturns because of their concern about loan quality and repayment probability. This exacerbates the economic downturn as credit constrained businesses and individuals cut back on their real investment activity. In contrast, banks expand their lendi...

Evaluating the Factors Affecting on Credit Ratings of Accepted Corporates in Tehran Securities Exchange by Using Factor Analysis and AHP

Implementation credit rating for Corporates is influenced by Different circum-stances, systems, processes, and cultures in each country. In this study, we pro-posed a Factor analysis modified approach for determine important factors on real data set of 123 accepted corporate in Tehran Securities Exchange for the years 2009-2017 of diverse range of 52 variable. We estimated the priority score fo...