Business Cycles and Conditional Credit-Rating Migration Matrices
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To quantify the impact of business cycles on the dynamics of credit ratings, conditional migration matrices and probabilities of the corresponding macroeconomic scenarios are estimated. The approach is tested on a Standard and Poor's (S&P's) dataset that covers the period from 1991 to 2013. The difference between the conditional probabilities and their unconditional counterparts is evaluated. It is the greatest, up to 300%, for contraction periods and downgrading probabilities.
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Boreiko D; Kaniovski S; Kaniovski Y; Pflug G (ISAST: International Society for the Advancement of Science and Technology, 2016)By mixing an idiosyncratic component with a common one, coupling schemes allow to model dependent credit-rating migrations. The distribution of the common component is modified according to macroeconomic conditions, favorable ...
Boreiko D; Kaniovski S; Kaniovski Y; Pflug G (2017)Using migration data of a rating agency, this paper attempts to quantify the impact of macroeconomic conditions on credit-rating migrations. The migrations are modeled as a coupled Markov chain, where the macroeconomic ...
Hoelzl W; Kaniovski S; Kaniovski Y (2019)Business tendency surveys are widely used for monitoring economic activity. They provide timely feedback on the current business conditions and outlook. We identify the unobserved macroeconomic factors behind the distribution ...