A transition probability approach to credit ratings

Bibliographic Details
Main Author: Valente, Rafaela Pereira
Publication Date: 2022
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/27781
Summary: Mestrado Bolonha em Mathematical Finance
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network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
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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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T15:29:58Zoai:repositorio.ulisboa.pt:10400.5/27781Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T03:45:13.109553Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833601821032054784

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