Advanced Search
MyIDEAS: Login to save this paper or follow this series

Do changes in distance-to-default anticipate changes in the credit rating?

Contents:

Author Info

  • Nidhi Aggarwal

    (Indira Gandhi Institute of Development Research)

  • Manish Singh

    (Indira Gandhi Institute of Development Research)

  • Susan Thomas

    ()
    (Indira Gandhi Institute of Development Research)

Abstract

Distance-to-default (DtD) from the Merton model has been used in the credit risk literature, most successfully as an input into reduced form models for forecasting default. In this paper, we suggest that the change in the DtD is informative for predicting change in the credit rating. This is directly useful for situations where forecasts of credit rating changes are required. More generally, it contributes to our knowledge about reduced form models of credit risk.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.igidr.ac.in/pdf/publication/WP-2012-010.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Indira Gandhi Institute of Development Research, Mumbai, India in its series Indira Gandhi Institute of Development Research, Mumbai Working Papers with number 2012-010.

as in new window
Length: 31 pages
Date of creation: Mar 2012
Date of revision:
Handle: RePEc:ind:igiwpp:2012-010

Contact details of provider:
Postal: Gen. A. K. Vaidya Marg, Goregaon (E), Mumbai 400065
Phone: (022) 840 0919/20/21
Fax: (022) 840 2752/2026
Email:
Web page: http://www.igidr.ac.in
More information through EDIRC

Related research

Keywords: Distance to Default; rating downgrades; rating change; forecasts; event study analysis; probit models; simulation; bootstrap; crisis analysis;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Reint Gropp & Jukka Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, Federal Reserve Bank of Boston.
  2. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
  3. Michel Dacorogna & Gianluca Oderda & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Risk and Insurance, EconWPA 0306003, EconWPA.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ind:igiwpp:2012-010. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamprasad M. Pujar).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.