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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19747| Title: | Time series properties of a rating system based on financial ratios |
| Keywords: | G33 G20 G13 ddc:330 Reduced Form Models Rating Transitions Markov Property Internal Rating Systems Time Homogeneity Matrix Norms Kreditwürdigkeit Kreditrisiko Portfolio-Management Zeitreihenanalyse Value at Risk Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| Description: | This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further, transition matrices are dependent on the used rating methodology. We investigate the changes in migrations of an extensiverating system based on financial ratios. Our findings are time-inhomogeneity, second-order Mrkov behaviour, a tendency for "rating equalization" and vast effects of migration behaviour on risk figures like expected shortfall and VaR. We further illustrate how changes in migration matrices can be related to macroeconomic factors. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19747 |
| Other Identifiers: | http://hdl.handle.net/10419/19747 ppn:504020137 RePEc:zbw:bubdp2:4269 |
| Appears in Collections: | EconStor |
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