This study employs a bibliometric and systematic approach to examine the impact of credit ratings as a measure of financial performance for companies listed in the S&P 500 index.The study identified a knowledge ga...This study employs a bibliometric and systematic approach to examine the impact of credit ratings as a measure of financial performance for companies listed in the S&P 500 index.The study identified a knowledge gap as only two researches were found,one suggesting and another using credit ratings to measure financial performance.Most researches use leverage,profitability,liquidity,and Share Return measures to explain financial performance.The empirical analysis uses the data of 2,398 observations of 240 companies rated by S&P Global Ratings for the period 2009-2013,applying a Generalized Method of Moments(GMM)methodology to estimate the models due to its ability to address potential endogeneity issues.The study considers Return on Assets(ROA)and Tobin’s Q as dependent variables.It incorporates credit ratings(CRWLTA)along with variables such as Total Debt to Total Assets(TDTA),Total Shareholder Return(TSR),EBITDA Interest coverage(EBITDAICOV),Quick Ratio(QR),Altman’s Z-Score(AZS),as well as macroeconomic factors like Gross Domestic Product(GDP)growth,inflation(Consumer Price Index-CPI),and the Federal Reserve Interest Rate(FDRI)as independent variables.The study argues that credit ratings,which incorporate historical data and confidential information about companies’strategies,provide reliable forward-looking creditworthiness assessments to the market.It is supported by specialized rating agencies that employ their methodologies.However,the findings suggested that CRWLTA,had a negative relationship with Q Tobin,although it was not statistically significant,and a negative relationship with ROA that was on the verge of significance.展开更多
order to help investors understand the credit status of target corporations and reduce investment risks,the corporate credit rating model has become an important evaluation tool in the financial market.These models ar...order to help investors understand the credit status of target corporations and reduce investment risks,the corporate credit rating model has become an important evaluation tool in the financial market.These models are based on statistical learning,machine learning and deep learning especially graph neural networks(GNNs).However,we found that only few models take the hierarchy,heterogeneity or unlabeled data into account in the actual corporate credit rating process.Therefore,we propose a novel framework named hierarchical heterogeneous graph neural networks(HHGNN),which can fully model the hierarchy of corporate features and the heterogeneity of relationships between corporations.In addition,we design an adversarial learning block to make full use of the rich unlabeled samples in the financial data.Extensive experiments conducted on the public-listed corporate rating dataset prove that HHGNN achieves SOTA compared to the baseline methods.展开更多
With the increase of China’s bond issuance and slowdown of the economic growth,the potential credit risks such as bond default in the bond market are gradually emerging.The frequent occurrence of bond defaults and th...With the increase of China’s bond issuance and slowdown of the economic growth,the potential credit risks such as bond default in the bond market are gradually emerging.The frequent occurrence of bond defaults and the problem of false credit ratings make bond investors and market participants more cautious about the credit ratings issued by rating agencies.Based on the default bonds from 2016 to 2019,this paper analyzes the adjustment of rating of defaulted bonds by rating agencies before default.It also compares the impact of both the regulatory events and the entrance of international agencies on timeless of credit ratings on default bonds.At the same time,the divergence of rating timeliness between different rating agencies is compared.The research shows that after the unified supervision of regulators and the punishment of Dagong Global Credit Rating Co.Ltd in 2018,the timeliness of rating agencies'downgrading of defaulted bonds has increased significantly;Compared with other rating agencies,the timeliness of rating agencies owned by international rating agencies are better.展开更多
This study investigates the possible nonlinear relationship between working capital and credit rating.Furthermore,it examines the relationship between the three components of working capital(inventory,accounts receiva...This study investigates the possible nonlinear relationship between working capital and credit rating.Furthermore,it examines the relationship between the three components of working capital(inventory,accounts receivable,and accounts payable)and a firm’s credit rating.Employing data for U.S listed firms for the period between 1985 and 2017,the results of our ordered probit model show a nonlinear relationship between working capital and its components and credit rating.Finally,we find that the deviation from the optimal working capital adversely affects the credit rating.The results of this study are of significant importance for policy makers,managers,decision makers,and credit-rating agencies,as they help highlight the importance of working capital management for a firm’s credit rating.展开更多
In this study,we compare the adjustments of credit ratings by an investor-paid credit rating agency(CRA),represented by Egan-Jones Ratings Company,and an issuer-paid CRA,represented by Moody’s Investors Service,vis-&...In this study,we compare the adjustments of credit ratings by an investor-paid credit rating agency(CRA),represented by Egan-Jones Ratings Company,and an issuer-paid CRA,represented by Moody’s Investors Service,vis-à-vis conflict of interest and reputation.A novel distribution dynamics approach is employed to compute the probability distribution and,hence,the downgrade and upgrade probabilities of a credit rating assigned by these two CRAs of different compensation systems based on the dataset of 750 U.S.issuers between 2011 and 2018,that is,after the passage of the Dodd–Frank Act.It is found that investor-paid ratings are more likely to be downgraded than issuerpaid ratings only in the lower rating grades,which is consistent with the argument that investor-paid agencies have harsher attitudes toward potentially defaulting issuers to protect their reputation.We do not find evidence that issuer-paid CRAs provide overly favorable treatments to issuers with threshold ratings,implying that reputation concerns and the Dodd–Frank regulation mitigate the conflict of interests,while issuerpaid CRAs are more concerned about providing accurate ratings.展开更多
In this paper,the pricing of a Credit Default Swap(CDS)contract with multiple counterparties is considered.The pricing model takes into account the credit rating migration risk of the reference.It is a new model estab...In this paper,the pricing of a Credit Default Swap(CDS)contract with multiple counterparties is considered.The pricing model takes into account the credit rating migration risk of the reference.It is a new model established under the reduced form framework,where the intensity rates are assumed to have structural styles.We derive from it a non-linear partial differential equation system where both positive and negative correlations of counterparties and the references are considered via a single factor model.Then,an ADI(Alternating Direction Implicit)difference method is used to solve the partial differential equations by iteration.From the numerical results,the comparison of multi-counterparty CDS contract and the standard one are analyzed respectively.Moreover,the impact of default parameters on value of the contracts are discussed.展开更多
At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the...At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the impact of credit rating migration risk on bond pricing,so as to adapt to the sustainable and healthy development of the bond market under the new normal of China's economy.The innovation point of this paper is to try to analyze the pricing of Convertible bonds in China from the perspective of credit rating migration risk.Tsiveriotis and Femandes(1998)model is selected,and the credit risk in the model is assumed to be caused by the credit rating migration risk,and the credit spread is used to measure the credit rating migration risk.The research conclusion of this paper is as follows:First,it is valid to consider the risk of credit rating migration in the TF(1998)model.The market price of convertible bonds is on average 1.22% higher 1han the theoretical value of the model.In general,the theoretical value obtained from the model has little deviation from the market price,and has a good fitting degree.Second,from the Angle of credit rating,the selection of 32 samples of convertible bonds only empirical research shows that the credit rating of AA-convertible bonds average deviation rate is negative,suggest that the credit rating of AA-the phenomenon of convertible bonds value is underestimated,and AAA credit rating to AA,AA+,the average deviation rate of convertible bonds is positive,that credit rating AA(containing AA)more convertible bond value is overrated phenomenon,and the higher the credit rating of the average deviation rate of convertible bond,the greater the overvalued levels.It has certain guiding significance for participants in the convertible bond market.展开更多
The main purpose of this article is to determine the factors affecting credit rating and to develop the credit rating system based on statistical methods, fuzzy logic and artificial neural network. Variables used in t...The main purpose of this article is to determine the factors affecting credit rating and to develop the credit rating system based on statistical methods, fuzzy logic and artificial neural network. Variables used in this study were determined by the literature review and then the number of them was reduced by using stepwise regression analysis. Resulting variables were used as independent variables in the logistic model and as input variables for ANN and ANFIS model. After evaluating the models and comparing with each other, the ANFIS model was chosen as the best model to forecast credit rating. Rating determination was made for the countries that haven’t had a credit rating. Consequently, the ANFIS model made consistent, reliable and successful rating forecasts for the countries.展开更多
A Multi-Agent System ( MAS ) is a promising approach to build complex system. This paper introduces the research of the Inner-Enterprise Credit Rating MAS ( IECRMAS). To raise the rating accuracy, we not only cons...A Multi-Agent System ( MAS ) is a promising approach to build complex system. This paper introduces the research of the Inner-Enterprise Credit Rating MAS ( IECRMAS). To raise the rating accuracy, we not only consider the rating-target's information, but also focus on the evaluators' feature information and propose the rational rating-group formation algorithm based on an anti-bias measurement of the group. We also propose the rational rating individual, which consists of the evaluator and the assistant rating agent. A rational group formation protocol is designed to coordinate autonomous agents to perform the rating job.展开更多
This article takes the companies that publicly issued corporate bonds on the Shanghai and Shenzhen Stock Exchanges from 2006 to 2018 as the research objects selecting six aspects that comprehensively reflect the 17 fi...This article takes the companies that publicly issued corporate bonds on the Shanghai and Shenzhen Stock Exchanges from 2006 to 2018 as the research objects selecting six aspects that comprehensively reflect the 17 financial variables in 6 aspects:profitability,operating ability,bond repayment ability,development ability,cash flow and market value of the company.Principal component analysis method and factor analysis method are used to extract the principal factors of these financial indicator variables.That is how an ordered multi-classification Logistic regression model is constructed to test the impact of the Shanghai and Shenzhen Stock Exchanges’financial status on the corporate bond credit rating.It turns out that the financial status of the Shanghai and Shenzhen Stock Exchanges have an important impact on the credit rating of corporate bonds.The financial status has a greater impact on corporate bonds with credit ratings of A-and AA-,while it has a smaller impact on corporate bonds with credit ratings above AA.The results of this article can help individual and institutional investors prevent risks from investing.展开更多
文摘This study employs a bibliometric and systematic approach to examine the impact of credit ratings as a measure of financial performance for companies listed in the S&P 500 index.The study identified a knowledge gap as only two researches were found,one suggesting and another using credit ratings to measure financial performance.Most researches use leverage,profitability,liquidity,and Share Return measures to explain financial performance.The empirical analysis uses the data of 2,398 observations of 240 companies rated by S&P Global Ratings for the period 2009-2013,applying a Generalized Method of Moments(GMM)methodology to estimate the models due to its ability to address potential endogeneity issues.The study considers Return on Assets(ROA)and Tobin’s Q as dependent variables.It incorporates credit ratings(CRWLTA)along with variables such as Total Debt to Total Assets(TDTA),Total Shareholder Return(TSR),EBITDA Interest coverage(EBITDAICOV),Quick Ratio(QR),Altman’s Z-Score(AZS),as well as macroeconomic factors like Gross Domestic Product(GDP)growth,inflation(Consumer Price Index-CPI),and the Federal Reserve Interest Rate(FDRI)as independent variables.The study argues that credit ratings,which incorporate historical data and confidential information about companies’strategies,provide reliable forward-looking creditworthiness assessments to the market.It is supported by specialized rating agencies that employ their methodologies.However,the findings suggested that CRWLTA,had a negative relationship with Q Tobin,although it was not statistically significant,and a negative relationship with ROA that was on the verge of significance.
文摘order to help investors understand the credit status of target corporations and reduce investment risks,the corporate credit rating model has become an important evaluation tool in the financial market.These models are based on statistical learning,machine learning and deep learning especially graph neural networks(GNNs).However,we found that only few models take the hierarchy,heterogeneity or unlabeled data into account in the actual corporate credit rating process.Therefore,we propose a novel framework named hierarchical heterogeneous graph neural networks(HHGNN),which can fully model the hierarchy of corporate features and the heterogeneity of relationships between corporations.In addition,we design an adversarial learning block to make full use of the rich unlabeled samples in the financial data.Extensive experiments conducted on the public-listed corporate rating dataset prove that HHGNN achieves SOTA compared to the baseline methods.
文摘With the increase of China’s bond issuance and slowdown of the economic growth,the potential credit risks such as bond default in the bond market are gradually emerging.The frequent occurrence of bond defaults and the problem of false credit ratings make bond investors and market participants more cautious about the credit ratings issued by rating agencies.Based on the default bonds from 2016 to 2019,this paper analyzes the adjustment of rating of defaulted bonds by rating agencies before default.It also compares the impact of both the regulatory events and the entrance of international agencies on timeless of credit ratings on default bonds.At the same time,the divergence of rating timeliness between different rating agencies is compared.The research shows that after the unified supervision of regulators and the punishment of Dagong Global Credit Rating Co.Ltd in 2018,the timeliness of rating agencies'downgrading of defaulted bonds has increased significantly;Compared with other rating agencies,the timeliness of rating agencies owned by international rating agencies are better.
文摘This study investigates the possible nonlinear relationship between working capital and credit rating.Furthermore,it examines the relationship between the three components of working capital(inventory,accounts receivable,and accounts payable)and a firm’s credit rating.Employing data for U.S listed firms for the period between 1985 and 2017,the results of our ordered probit model show a nonlinear relationship between working capital and its components and credit rating.Finally,we find that the deviation from the optimal working capital adversely affects the credit rating.The results of this study are of significant importance for policy makers,managers,decision makers,and credit-rating agencies,as they help highlight the importance of working capital management for a firm’s credit rating.
基金funded by Research Grants Council,Hong Kong,Grant Number UGC/FDS14/B20/16the Hong Kong Polytechnic University,Grant Number P0030199.
文摘In this study,we compare the adjustments of credit ratings by an investor-paid credit rating agency(CRA),represented by Egan-Jones Ratings Company,and an issuer-paid CRA,represented by Moody’s Investors Service,vis-à-vis conflict of interest and reputation.A novel distribution dynamics approach is employed to compute the probability distribution and,hence,the downgrade and upgrade probabilities of a credit rating assigned by these two CRAs of different compensation systems based on the dataset of 750 U.S.issuers between 2011 and 2018,that is,after the passage of the Dodd–Frank Act.It is found that investor-paid ratings are more likely to be downgraded than issuerpaid ratings only in the lower rating grades,which is consistent with the argument that investor-paid agencies have harsher attitudes toward potentially defaulting issuers to protect their reputation.We do not find evidence that issuer-paid CRAs provide overly favorable treatments to issuers with threshold ratings,implying that reputation concerns and the Dodd–Frank regulation mitigate the conflict of interests,while issuerpaid CRAs are more concerned about providing accurate ratings.
基金Supported by the National Natural Science Foundation of China(11671301,12071349).
文摘In this paper,the pricing of a Credit Default Swap(CDS)contract with multiple counterparties is considered.The pricing model takes into account the credit rating migration risk of the reference.It is a new model established under the reduced form framework,where the intensity rates are assumed to have structural styles.We derive from it a non-linear partial differential equation system where both positive and negative correlations of counterparties and the references are considered via a single factor model.Then,an ADI(Alternating Direction Implicit)difference method is used to solve the partial differential equations by iteration.From the numerical results,the comparison of multi-counterparty CDS contract and the standard one are analyzed respectively.Moreover,the impact of default parameters on value of the contracts are discussed.
文摘At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the impact of credit rating migration risk on bond pricing,so as to adapt to the sustainable and healthy development of the bond market under the new normal of China's economy.The innovation point of this paper is to try to analyze the pricing of Convertible bonds in China from the perspective of credit rating migration risk.Tsiveriotis and Femandes(1998)model is selected,and the credit risk in the model is assumed to be caused by the credit rating migration risk,and the credit spread is used to measure the credit rating migration risk.The research conclusion of this paper is as follows:First,it is valid to consider the risk of credit rating migration in the TF(1998)model.The market price of convertible bonds is on average 1.22% higher 1han the theoretical value of the model.In general,the theoretical value obtained from the model has little deviation from the market price,and has a good fitting degree.Second,from the Angle of credit rating,the selection of 32 samples of convertible bonds only empirical research shows that the credit rating of AA-convertible bonds average deviation rate is negative,suggest that the credit rating of AA-the phenomenon of convertible bonds value is underestimated,and AAA credit rating to AA,AA+,the average deviation rate of convertible bonds is positive,that credit rating AA(containing AA)more convertible bond value is overrated phenomenon,and the higher the credit rating of the average deviation rate of convertible bond,the greater the overvalued levels.It has certain guiding significance for participants in the convertible bond market.
文摘The main purpose of this article is to determine the factors affecting credit rating and to develop the credit rating system based on statistical methods, fuzzy logic and artificial neural network. Variables used in this study were determined by the literature review and then the number of them was reduced by using stepwise regression analysis. Resulting variables were used as independent variables in the logistic model and as input variables for ANN and ANFIS model. After evaluating the models and comparing with each other, the ANFIS model was chosen as the best model to forecast credit rating. Rating determination was made for the countries that haven’t had a credit rating. Consequently, the ANFIS model made consistent, reliable and successful rating forecasts for the countries.
基金This paper is supported by National Science Foundation of China under Grant No60542004
文摘A Multi-Agent System ( MAS ) is a promising approach to build complex system. This paper introduces the research of the Inner-Enterprise Credit Rating MAS ( IECRMAS). To raise the rating accuracy, we not only consider the rating-target's information, but also focus on the evaluators' feature information and propose the rational rating-group formation algorithm based on an anti-bias measurement of the group. We also propose the rational rating individual, which consists of the evaluator and the assistant rating agent. A rational group formation protocol is designed to coordinate autonomous agents to perform the rating job.
文摘This article takes the companies that publicly issued corporate bonds on the Shanghai and Shenzhen Stock Exchanges from 2006 to 2018 as the research objects selecting six aspects that comprehensively reflect the 17 financial variables in 6 aspects:profitability,operating ability,bond repayment ability,development ability,cash flow and market value of the company.Principal component analysis method and factor analysis method are used to extract the principal factors of these financial indicator variables.That is how an ordered multi-classification Logistic regression model is constructed to test the impact of the Shanghai and Shenzhen Stock Exchanges’financial status on the corporate bond credit rating.It turns out that the financial status of the Shanghai and Shenzhen Stock Exchanges have an important impact on the credit rating of corporate bonds.The financial status has a greater impact on corporate bonds with credit ratings of A-and AA-,while it has a smaller impact on corporate bonds with credit ratings above AA.The results of this article can help individual and institutional investors prevent risks from investing.