Sunday, May 20, 2018

modeling - Credit Rating or Probability of Default from Financial Ratios



Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria?


Something like they have some financial ratios and then they have some methodology that reduces it to a few financial ratios and then they make a regression model out of it or something.



Answer



Most of the papers concern CDS spreads which you will need to convert to a PD.


Paper using country specific fundamentals: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2517018


This paper uses leverage: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2361872


Another one that decomposes them against peer groups: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2413011


Comparing spreads and ratings: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1551406


No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...