Record Details

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Global Markets and Financial Engineering

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Field Value
 
Title .
Two indices of market condition changes based on rating migration matrices
 
Creator Irmatova E...; Russian Presidential Academy of National Economy and Public Administration; National Rating Agency, LLC
 
Subject .
credit rating; rating migration matrix; rating drift; rating activity
 
Description .
The article is dedicated to the study of rating changes under the conditions of critical tendencies in the market with the help of rating transition probability matrices. The author revealed the need for developing a tool for negative market events indication based on the general public’s inability to calculate the existing indicators of the Moody’s Investors Service rating agency. The article introduces two new indices, Migration drift index and Drift Complicated Index, built on the basis of rating migration matrices, to analyze the credit quality of the market and its members. The possibility to use them by all the concerned parties is highlighted. Based on testing of the indices, it is defined that the created indicators have a forecasting power that matches Moody’s indicators and even allow improving their rates in some cases.
 
Publisher Creative Economy Publishers LLC
 
Contributor —
—
 
Date 2015-10-08
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Отрецензированная статья
 
Identifier http://journals.creativeconomy.ru/index.php/gmfe/article/view/1907
10.18334/gmfe.2.2.1907
 
Source Global Markets and Financial Engineering; Том 2, № 2 (2015)
Global Markets and Financial Engineering; Том 2, № 2 (2015)
2412-978X
10.18334/gmfe.2.2
 
Rights © авторы / Creative Economy Publishers, 2015
http://creativecommons.org/licenses/by-nc-nd/4.0