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- handle: 10670/1.27hb40
- hal: hal-01117683
info:eu-repo/semantics/OpenAccess
Mots-clés
Corporate Rating market implied rating corporate Bond Yields C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C23 - Panel Data Models • Spatio-temporal Models E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial MarketsSujets proches
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Bertrand Hassani et al., « Reconsidering Corporate Ratings », HAL-SHS : économie et finance, ID : 10670/1.27hb40
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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.