Innovative approach to the management of credit risk

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F18%3A%230000902" target="_blank" >RIV/26138077:_____/18:#0000902 - isvavai.cz</a>

Result on the web

<a href="http://mmi.fem.sumdu.edu.ua/sites/default/files/mmi2018_1_327_337.pdf" target="_blank" >http://mmi.fem.sumdu.edu.ua/sites/default/files/mmi2018_1_327_337.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21272/mmi.2018.1-25" target="_blank" >10.21272/mmi.2018.1-25</a>

Result language

angličtina

Original language name

Innovative approach to the management of credit risk

Original language description

Credit rating is a traditional measurement of credit risk in financial markets. This paper introduces an innovative approach based on implied ratings defined by CDS spreads. Using this approach the credit risk can be better managed because CDS are provided on daily basis. The implied rating is compared with credit ratings provided by Moody´s, S&amp;P, and Fitch. The model of implied rating deals only with sovereign ratings. 52 countries were chosen for comparison of both types of above-mentioned ratings. The model uses cumulative default probabilities (CPD) derived from CDS spreads and the main results are CPD intervals which define implied credit ratings. For those countries where the credit rating and implied credit rating are different, the paper shows how implied rating can serve as a signal for potential upgrade or downgrade of the credit rating provided by rating agencies. The presented model is also used to verify ratings provided by Moody´s, S&amp;P, and Fitch in cases where these agencies provide different ratings for a specific country. This is especially important when some ratings are investment-grade and others are speculative-grade.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50200 - Economics and Business

Project

<a href="/en/project/GA16-21506S" target="_blank" >GA16-21506S: New Sources of Systemic Risk in the Financial Markets</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Marketing and Management of Innovations

ISSN

2218-4511

e-ISSN

2227-6718

Volume of the periodical

Neuveden

Issue of the periodical within the volume

1

Country of publishing house

UA - UKRAINE

Number of pages

11

Pages from-to

327-337

UT code for WoS article

000430685900025

EID of the result in the Scopus database

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