{"title":"商业周期和条件信用评级迁移矩阵","authors":"D. Boreiko, S. Kaniovski, Y. Kaniovski, G. Pflug","doi":"10.1142/S2010139218400050","DOIUrl":null,"url":null,"abstract":"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 [Formula: see text], for contraction periods and downgrading probabilities.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Business Cycles and Conditional Credit-Rating Migration Matrices\",\"authors\":\"D. Boreiko, S. Kaniovski, Y. Kaniovski, G. Pflug\",\"doi\":\"10.1142/S2010139218400050\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 [Formula: see text], for contraction periods and downgrading probabilities.\",\"PeriodicalId\":45339,\"journal\":{\"name\":\"Quarterly Journal of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2018-09-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Journal of Finance\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1142/S2010139218400050\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/S2010139218400050","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5
摘要
为了量化商业周期对信用评级动态的影响，估计了条件迁移矩阵和相应宏观经济情景的概率。该方法在标准普尔(Standard and Poor 's)涵盖1991年至2013年的数据集上进行了测试。计算条件概率和它们的无条件对应概率之间的差异。它是最大的，直到[公式:见文本]，对于收缩期和降级概率。
Business Cycles and Conditional Credit-Rating Migration Matrices
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 [Formula: see text], for contraction periods and downgrading probabilities.
期刊介绍：
The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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