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Advancing credit rating prediction : the role of machine learning in corporate credit rating assessment

Oliveira, Nazário Augusto de; Basso, Leonardo Fernando Cruz - In: Risks : open access journal 13 (2025) 6, pp. 1-26

Accurate corporate credit ratings are essential for financial risk assessment; yet, traditional methodologies relying on manual evaluation and basic statistical models often fall short in dynamic economic conditions. This study investigated the potential of machine-learning (ML) algorithms as a...

Persistent link: https://www.econbiz.de/10015436528

The regime-switching structural default risk model

Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...

Persistent link: https://www.econbiz.de/10014497430

On the diversification of fixed income assets

Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21

. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of …

Persistent link: https://www.econbiz.de/10012806470

The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk …-pandemic period only the stock market is significant, during the pandemic also conventional bonds and gold are impacting. To the best … deem our findings useful to observe the change of green bonds creditworthiness in a complex market context and interesting …

Persistent link: https://www.econbiz.de/10013093081

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

other in gauging the credit quality of defaultable bonds in a portfolio. We also discuss the model calibration and provide …

Persistent link: https://www.econbiz.de/10011811620

Bond and CDS pricing via the stochastic recovery Black-Cox Model

Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 2, pp. 1-17

the amount recovered in the event of default. We then price zero-coupon bonds and credit default swaps under the … work by computing the effect of adding coupons that are paid continuously until default, and price perpetual (consol bonds …

Persistent link: https://www.econbiz.de/10011643417

An analysis of bank financial strength ratings and credit rating data

Ruddy, John A. - In: Risks : open access journal 9 (2021) 9, pp. 1-16

In this study, data from two credit rating agencies are analyzed to consider how different Bank Financial Strength Ratings and Credit Ratings from two rating agencies compare. To my knowledge, prior research has not analyzed Bank Financial Strength Ratings from different rating agencies, nor has...

Persistent link: https://www.econbiz.de/10012612481

Limiting loss distribution of default and prepayment for loan portfolios and its application in RMBS

Xia, Chenxi; Zang, Xin; Bu, Lan; Duan, Qinhan; Yang, … - In: Risks : open access journal 13 (2025) 8, pp. 1-32

This paper studies the joint distribution of the default and prepayment losses for a large portfolio of loans, based on a bottom-up approach. The repayment behaviors of loans in the portfolio are determined by both systematic and idiosyncratic risk factors and are conditionally independent given...

Persistent link: https://www.econbiz.de/10015448891

ESG as a measure of credit ratings

Chodnicka-Jaworska, Patrycja - In: Risks : open access journal 9 (2021) 12, pp. 1-26

The aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on...

Persistent link: https://www.econbiz.de/10012794229

Insolvency risk and value maximization : a convergence between financial management and risk management

Gennaro, Alessandro - In: Risks : open access journal 9 (2021) 6, pp. 1-36

This conceptual paper focuses on the relationship between insolvency, capital structure, and value creation. The aim is twofold: to define risk-based capital measures able to absorb the effects of financial distress and avoid corporate default; and to verify conditions and limits of use of these...

Persistent link: https://www.econbiz.de/10012597149