A transition probability approach to credit ratings
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2022 |
| Tipo de documento: | Dissertação |
| Idioma: | eng |
| Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| Texto Completo: | http://hdl.handle.net/10400.5/27781 |
Resumo: | Mestrado Bolonha em Mathematical Finance |
| id |
RCAP_9c9b0986798665b5f555f9a9f032b5d3 |
|---|---|
| oai_identifier_str |
oai:www.repository.utl.pt:10400.5/27781 |
| network_acronym_str |
RCAP |
| network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| repository_id_str |
7160 |
| spelling |
A transition probability approach to credit ratingsBankCredit RatingCredit Rating AgencyFitchMoody’sS&PTransition ProbabilityTransition Probability MatrixMestrado Bolonha em Mathematical FinanceThis report is a compiled guide for the credit rating models of the three main credit rating agencies, describing the approaches to analyze the macro profile, individual bank profile, and the possible support from affiliate institutions or the government. Using the final credit ratings of the 10 biggest UK (United Kingdom) banks, it calculates and represents the transition probabilities matrixes between 2 ratings of the two out of the three agencies for a certain time period. It concludes that during struggling economic times, transition probabilities to a worst rating are more significant. Also, with a wider sample, there are more results that could be obtained. In the future, it would be interesting to have the third agency’s data, more UK banks and more years to better understand the quality of credit ratings.Instituto Superior de Economia e GestãoLuís, Jorge de JesusRepositório da Universidade de LisboaValente, Rafaela Pereira2023-11-16T01:30:21Z2022-102022-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/27781engValente, Rafaela Pereira (2022). “A transition probability approach to credit ratings”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestãoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-19T01:31:31Zoai:www.repository.utl.pt:10400.5/27781Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:54:15.247742Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
| dc.title.none.fl_str_mv |
A transition probability approach to credit ratings |
| title |
A transition probability approach to credit ratings |
| spellingShingle |
A transition probability approach to credit ratings Valente, Rafaela Pereira Bank Credit Rating Credit Rating Agency Fitch Moody’s S&P Transition Probability Transition Probability Matrix |
| title_short |
A transition probability approach to credit ratings |
| title_full |
A transition probability approach to credit ratings |
| title_fullStr |
A transition probability approach to credit ratings |
| title_full_unstemmed |
A transition probability approach to credit ratings |
| title_sort |
A transition probability approach to credit ratings |
| author |
Valente, Rafaela Pereira |
| author_facet |
Valente, Rafaela Pereira |
| author_role |
author |
| dc.contributor.none.fl_str_mv |
Luís, Jorge de Jesus Repositório da Universidade de Lisboa |
| dc.contributor.author.fl_str_mv |
Valente, Rafaela Pereira |
| dc.subject.por.fl_str_mv |
Bank Credit Rating Credit Rating Agency Fitch Moody’s S&P Transition Probability Transition Probability Matrix |
| topic |
Bank Credit Rating Credit Rating Agency Fitch Moody’s S&P Transition Probability Transition Probability Matrix |
| description |
Mestrado Bolonha em Mathematical Finance |
| publishDate |
2022 |
| dc.date.none.fl_str_mv |
2022-10 2022-10-01T00:00:00Z 2023-11-16T01:30:21Z |
| dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
| format |
masterThesis |
| status_str |
publishedVersion |
| dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/27781 |
| url |
http://hdl.handle.net/10400.5/27781 |
| dc.language.iso.fl_str_mv |
eng |
| language |
eng |
| dc.relation.none.fl_str_mv |
Valente, Rafaela Pereira (2022). “A transition probability approach to credit ratings”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão |
| dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
| eu_rights_str_mv |
openAccess |
| dc.format.none.fl_str_mv |
application/pdf |
| dc.publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
| publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
| dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
| instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
| instacron_str |
RCAAP |
| institution |
RCAAP |
| reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
| repository.mail.fl_str_mv |
|
| _version_ |
1799131615312478208 |