Economia
Credit ratings and credit risk
Jens Hilscher
[email protected]
Mungo Wilsony
[email protected]
This version: June 2011
Abstract
This paper investigates the information in corporate credit ratings. We examine the
extent to which rmscredit ratings measure raw probability of default as opposed to
systematic risk of default, a rms tendency to default in bad times. We nd that credit
ratings are dominated as predictors of corporate failure by a simple model based on
publicly available nancial information (failure score), indicating that ratings are poor
measures of raw default probability. However, ratings are strongly related to a straight-
forward measure of systematic default risk: the sensitivity of rm default probability
to its common component (failure beta). Furthermore, this systematic risk measure is
strongly related to credit default swap risk premia. Our ndings can explain otherwise
puzzling qualities of ratings.
JEL Classi cation: G12, G24, G33
Keywords: credit rating, credit risk, default probability, forecast accuracy, systematic
default risk
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Economia
Ratings das agencias de crédito tem pouco valor preditivo
Credit ratings and credit risk
Jens Hilscher
[email protected]
Mungo Wilsony
[email protected]
This version: June 2011
Abstract
This paper investigates the information in corporate credit ratings. We examine the
extent to which rmscredit ratings measure raw probability of default as opposed to
systematic risk of default, a rms tendency to default in bad times. We nd that credit
ratings are dominated as predictors of corporate failure by a simple model based on
publicly available nancial information (failure score), indicating that ratings are poor
measures of raw default probability. However, ratings are strongly related to a straight-
forward measure of systematic default risk: the sensitivity of rm default probability
to its common component (failure beta). Furthermore, this systematic risk measure is
strongly related to credit default swap risk premia. Our ndings can explain otherwise
puzzling qualities of ratings.
JEL Classi cation: G12, G24, G33
Keywords: credit rating, credit risk, default probability, forecast accuracy, systematic
default risk
Mais
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- Petrobras Na Categoria De Lixo
Brazil oil firm Petrobras downgraded to junk status By BRAD BROOKS RIO DE JANEIRO (AP) — Brazil's state-run oil company Petrobras' debt was downgraded to junk status on Tuesday by Moody's Investors Service. The...
- A Posição De Risco Do Brasil
Brazil: risk assessment RiskJuly 2011 Sovereign riskBB Currency riskBBB Banking sector riskBBB Political riskBBB Economic structure riskBBBFonte ...
- Modelo Errado
Financial meltdown blamed on risk models Web posted at: 2/14/2009 9:20:18 Source ::: FINANCIAL TIMES By Norma Cohen The failure of banks to count, manage and hedge their risks over the past decade is responsible both for the fantastic growth before...
-
Ser anti-globalização dá resultados? Dá. E são negativos se você não gostar de investimento externo direto, empresariado local....(ei, é ideal para anti-capitalistas!) Olha só o artigo interessante aí embaixo. O artigo tem problemas? Leia,...
-
O governo brasileiro tomou a decisão correta em 2003 ? O Blanchard fez as contas e concluiu que : This paper argues that this is the situation the Brazilian economy found itself in in 2002 and 2003. It presents a model of the interaction between...