کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088076 | 1478294 | 2017 | 77 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Reading between the ratings: Modeling residual credit risk and yield overlap
ترجمه فارسی عنوان
خواندن بین رتبه بندی: مدل ریسک اعتبار باقی مانده و همپوشانی عملکرد
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Credit ratings group firms by risk, yet yields are shown to overlap between firms of adjacent ratings. We model this by considering the residual risk arising from differences in the parameters of each firm's value process for firms with the same rating. To do so, our framework simultaneously incorporates jump default with Markov-governed likelihoods and continuous defaults in a default-barrier framework. We provide closed-form approximations for expected default time and tail probabilities, and empirically fit the S-shaped yield curve, intra-rating spread, and inter-rating overlap. Results are robust to time period, rating system, sub-rating, and common characteristics such as liquidity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 81, August 2017, Pages 114-135
Journal: Journal of Banking & Finance - Volume 81, August 2017, Pages 114-135
نویسندگان
Charles Chang, Cheng-Der Fuh, Chu-Lan Michael Kao,