Personal credit scoring is the application of financial risk forecasting. It becomes an even
important task as financial institutions have been experiencing serious competition and …

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit
risk in particular and finance in general remain important fields for the application of …

We explore how general economic conditions impact defaults and major credit rating
changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic …

We investigate agency variation in credit quality assessment (Standard and Poor's vs.
Moody's vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period …

Credit rating agencies do not only disclose simple ratings but announce watchlists (rating
reviews) and outlooks as well. This paper analyzes the economic function underlying the …

In the last decade rating-based models have become very popular in credit risk
management. These systems use the rating of a company as the decisive variable to …

I study the information content of bond ratings changes using daily corporate bond data from
TRACE. Abnormal bond returns over a two-day event window that includes the downgrade …

In this paper we conduct a systematic comparison of confidence intervals around estimated
probabilities of default (PD) using several analytical approaches as well as parametric and …

Abstract Performance evaluation (“rating”) systems not only provide information to users but
also motivate the rated worker. This article solves for the optimal (effort-maximizing) rating …

The COVID-19 pandemic shows significant impacts on credit risk, which is the key concern
of corporate bond holders such as insurance companies. Credit risk, quantified by agency …