Split Ratings and the Pricing of Credit Risk
نویسندگان
چکیده
منابع مشابه
the study of practical and theoretical foundation of credit risk and its coverage
پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
15 صفحه اولThe Role of Issuers’ Credit Ratings in Dynamic Warrants Pricing
One of major difference of the characteristics between warrants and options in Taiwan is that the former are issued by the qualified securities firms, ruled by Taiwan Stock Exchange (TSEC), and the later offered by the Taiwan Futures Exchange (TAIFEX), who actively list three (the next two quarterly months) or five (the spot month and the next two calendar months) in-the-money series and out-of...
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............................................................................................................................... 3 Acknowledgements ............................................................................................................. 4
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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...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 1997
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.1997.408217