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Autre Publication Scientifique Année : 2014

Reconsidering Corporate Ratings

Bertrand Hassani
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  • PersonId : 937147
  • IdRef : 158318099
Xin Zhao
  • Fonction : Auteur
  • PersonId : 924942

Résumé

In this paper, a new corporate ratings methodology is proposed. In this innovating approach corporate ratings are calibrated from data with different frequency in two-steps. Information of firms' credit quality from annual accounting ratios and daily credit derivative spreads yields are combined through a Bayesian approach. To test the performance of this new rating, an empirical analysis is carried out on a sample of 197 public traded international corporations with credit ratings from the big-three credit rating agencies. The ratings generated from the presented approach perform better than the ratings from the external agencies as it is more representative of companies' credit quality over time, therefore this approach is a suitable alternative to internal rating methods.
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Dates et versions

hal-01117683 , version 1 (17-02-2015)

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  • HAL Id : hal-01117683 , version 1

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Bertrand Hassani, Xin Zhao. Reconsidering Corporate Ratings. 2014. ⟨hal-01117683⟩
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