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
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