دانلود مقاله ISI انگلیسی شماره 109161
ترجمه فارسی عنوان مقاله

خواندن بین رتبه بندی: مدل ریسک اعتبار باقی مانده و همپوشانی عملکرد

عنوان انگلیسی
Reading between the ratings: Modeling residual credit risk and yield overlap
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
109161 2017 77 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 81, August 2017, Pages 114-135

پیش نمایش مقاله
پیش نمایش مقاله  خواندن بین رتبه بندی: مدل ریسک اعتبار باقی مانده و همپوشانی عملکرد

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.