Credit rating is a burgeoning industry in China. However, ever since it was established by State Council in 1993, the development of the industry in China has faced various impediments. There are currently three major problems hindering its further development, as result of a lack of systematic statutory and judicial guidelines. These problems are: limited competition in the industry, rampant r...

It is very important for bank to control the credit risk of guarantee loan or combinational loan by evaluating the joint default risk of different enterprises. Firstly we apply a combinational copula function to measure the joint default risk of two enterprises with credit rating information; secondly the default intensity model is intended to analyze the default time distribution; thirdly we u...

This paper examines the interaction between default risk and interest-rate risk in determining the term structure of credit default swap spreads at different industry sectors and credit rating classes. The paper starts with a parsimonious three-factor interest-rate dynamic term structure and projects the credit spread at each industry sector and rating class to these interest-rate factors while...

The assessment of credit risk usually involves the development of rating models that classify credit applicants (firms or individuals) into predefined risk groups. A plethora of methodologies have been proposed to develop such rating models. Among them support vector machines (SVMs) have rapidly evolved in statistical learning theory as new modeling technique for developing classification model...

This study wants to investigate the rating of the actual customers of banks based on credit risk using multiple criteria decision making and artificial intelligence hyperbolic regression. This is an applied research. The statistical population of the study includes the credit customers of Agriculture Bank in west branches of Mazandaran province, Iran in 2012-2016. A total of 100 cases have been...

How good is “good”? Based on the assumption that asymmetric information exists between decentralized relationship managers who create soft information in credit rating systems and a bank’s management, this study deals theoretically and empirically with the existence of rater effects in bank internal credit ratings. If relationship managers have an incentive to manipulate credit ratings, the rat...

Credit ratings assigned by rating agencies to structured credit products have played an important role in the development of the structured credit market, which has been cast into the limelight by the recent credit crisis. This study aims at clarifying some misconceptions related to CDO ratings, their interpretation and their use. We first describe the rating approaches used by major agencies f...