F a large array of economic and financial data series, this paper identifies three fundamental risk dimensions underlying an economy: inflation, real output growth, and financial market volatility. Furthermore, through a no-arbitrage model, the paper links the dynamics and market pricing of the three risk dimensions to the term structure of U.S. Treasury yields and corporate bond credit spreads...

The paper gives an overview of current conceptual framework for the credit risk assessment dedicated to banks. The framework utilises the Merton model to estimate the default probabilities of companies that are supposed to be the main borrowers causing a formation of a greater credit risk in banks. By doing this, banks are able to reaffirm the ability of their borrowers in meeting loan commitme...

The paper presents the design of the parameters for long-term municipal rating. Modelling of the rating is realized by means of unsupervised methods, because the rating classes are not known a priori. The model design based on statistical methods (neural networks) is represented by cluster analysis (self-organizing feature maps). Key-Words: Credit risk, rating, unsupervised learning, cluster an...

Abstract: Despite the fast development in trading volume, potential credit risk hindered the development of e-commerce in emerging economies. This paper studies the credit rating industry and its application in e-commerce firstly. Then fuzzy consistent matrix, which makes conform to the consistency of human decision making as its special property of center-division transitivity, is applied to c...

Under the Basel II Internal Rating Based (IRB) approach banks should accurately discriminate among different grades of obligors in their credit portfolios taking into account not only the obligor-specific characteristics but also their sector and macro-economic environment. The final objective is the assignment of a credit rating to each of their exposures based upon a set of estimated probabil...

Using 5-year credit default swap (CDS) contracts on 1,247 U.S. firms from 2003 2011, we show a 3-month formation and 1-month holding period CDS momentum strategy yields 52 bps per month. By incorporating past CDS return signals, we further show traditional stock momentum strategies avoid abrupt losses during the crisis period and improve their performance by net 104 bps per month. Both within C...