Do changes in distance-to-default anticipate changes in the credit rating?
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.
|Date of creation:||Mar 2012|
|Date of revision:|
|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
Web page: http://www.igidr.ac.in
More information through EDIRC
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.:
- John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005.
"In Searach of Distress Risk,"
Harvard Institute of Economic Research Working Papers
2081, Harvard - Institute of Economic Research.
- John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005. "In search of distress risk," Discussion Paper Series 1: Economic Studies 2005,27, Deutsche Bundesbank, Research Centre.
- Szilagyi, Jan & Hilscher, Jens & Campbell, John, 2008. "In Search of Distress Risk," Scholarly Articles 3199070, Harvard University Department of Economics.
- Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006.
"Equity and Bond Market Signals as Leading Indicators of Bank Fragility,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(2), pages 399-428, March.
- Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2002. "Equity and bond market signals as leading indicators of bank fragility," Working Paper Series 0150, European Central Bank.
- Michel Dacorogna & Gianluca Oderda & Tobias Jung, 2003.
"Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment,"
Risk and Insurance
- Gianluca Oderda & Michel M. Dacorogna & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(2), pages 177-195, 07.
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 references are entirely missing, you can add them using this form.