加拿大达尔豪斯大学赵永淦 (Yonggan Zhao)教授学术报告会

来源:南京审计学院点击数:5更新时间:2014-09-12

主  题:Predicting Credit Rating Changes in Bull and Bear Markets

内容简介:Credit rating transitions over time are typically assumed to be generated by a simple Markov process and dependent on the dynamics of the economic regimes. Incorporating the dynamics of the economic regimes characterized by economic indicators, this paper proposes a new structural model for predicting changes in corporate credit ratings. Specifically, our first objective is to develop a regime-switching multivariate autoregressive model to characterize the dynamics of the economic market. A hidden Markov model captures the changing pattern of critical market situations, such as bull and bear markets. The second objective of this paper is to develop a model that predicts the likelihood of changes in firms' credit ratings for different regimes of macro economy using typical firm financial data. It is statistically significant that firms are more probably to be downgraded in bear markets than in bull markets. On the other hand, chances for firms to be upgraded are greater in bull markets than in bear markets.

报告人:赵永淦    教授

                  加拿大达尔豪斯大学金融学院教授

时  间:2014年9月17号(周三)15:00

地  点:敏达楼516

举办单位:金融学院、科研与研究生部

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