Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.494791
Title: Empirical studies of credit rating and spread dynamics
Author: Kou, Jianming
ISNI:       0000 0001 3602 0917
Awarding Body: The University of Reading
Current Institution: University of Reading
Date of Award: 2008
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Abstract:
This thesis concentrates on the empirical analysis of credit ratings and credit spreads. In four relatively independent chapters, we look at the predicting power of yield spread implied ratings, Markov property of credit ratings and the dynamics of yield spreads. In the first chapter, we develop an implied rating for a large dataset of Eurobonds based on their yield spreads, taking into account the term structure effect and the time-varying spread levels. Our analysis shows that spread implied ratings and the time-varying spread levels. Our analysis shows that spread implied ratings are able to predict the future movements of agency ratings. When the spread implied rating is persistently different from the agency rating, it is very likely that if there is an agency rating adjustment, it will be in the direction that the spread implied rating points to. Both upgrade and downgrade are anticipated by spread-implied ratings well ahead of the events.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.494791  DOI: Not available
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