Innovative approach to the management of credit risk
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Innovative approach to the management of credit risk
Popis výsledku v původním jazyce
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&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&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.
Název v anglickém jazyce
Innovative approach to the management of credit risk
Popis výsledku anglicky
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&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&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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50200 - Economics and Business
Návaznosti výsledku
Projekt
<a href="/cs/project/GA16-21506S" target="_blank" >GA16-21506S: Nové zdroje systémového rizika na finančních trzích</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Marketing and Management of Innovations
ISSN
2218-4511
e-ISSN
2227-6718
Svazek periodika
Neuveden
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
UA - Ukrajina
Počet stran výsledku
11
Strana od-do
327-337
Kód UT WoS článku
000430685900025
EID výsledku v databázi Scopus
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