Đưa ra những kiến thức cơ bản về xếp hạng tín nhiệm doanh nghiệp. Ở nước ta, thuật ngữ "corporate credit rating" được được
dịch với nhiều nghĩa khác nhau như xếp hạng tín nhiệm doanh
nghiệp, xếp hạng tín dụng doanh nghiệp, phân loại tín dụng
doanh nghiệp, xếp loại doanh nghiệp, phân loại doanh nghiệp...
Trong đó, sát nghĩa nhất là xếp hạng tín nhiệm doanh nghiệp, xếp
hạng tín dụng doanh nghiệp và phân loại tín dụng doanh nghiệp....
In Japan, credit ratings issued by Designated Rating Agencies (DRA) are used to estimate
market risks and counterparty risks for the purpose of calculating the capital adequacy ratios
for securities companies.
Japan also noted that for calculating the capital adequacy ratios
for banks and other deposit-taking institutions, credit ratings issued by ECAIs are used
subject to the Financial Services Agency (JFSA) ordinance under the Banking Act.
1: Xác định cơ cấu tối ưu giữa nguồn vốn chủ sở hữu và vay nợ dài hạn trong tổng nguồn vốn Phương pháp Dùng phương pháp tính chỉ số chi phí vốn bình quân WACC (Weighted Average Cost of Capital) Cơ cấu vốn chủ sở hữu và vay nợ dài hạn hợp lý là cơ cấu có chỉ số WACC nhỏ nhất (có so sánh với mức trung bình trong ngành)
2: Xác định mức vay nợ ngắn hạn trung bình Phương pháp Trong cơ cấu nguồn vốn, để đảm bảo an toàn, nguồn vốn dài hạn (vốn chủ sở...
One of our main goals in analysing the flows of corporate credit is to trace the effect
of a policy shock, such as the introduction of the CBA on the determinants of these flows.
The theoretical literature suggests that policy may have an effect on credit supply and demand
in various ways. Thus changes in monetary policy do affect banks’ and firms’ behavior due to
the existence of a transmission mechanism through which monetary shocks affect real
Bonds are considered high yield (or junk) based on the credit ratings they receive from the two major US rating
agencies, Moody's and Standard & Poor's. Any bond rated below Baa3 by Moody's or BBB- by S&P is included in
the high yield universe. High yield bonds are classified in two ways, as "fallen angels", which are former
investment grade bonds that have declined in ratings, and as new issue high yield bonds, which are issued
generally by young, growing companies in recapitalizations. The growth of the market has been exceptional.
In 1909, John Moody published the fifi rst publicly available bond ratings,
focused entirely on railroad bonds. Moody’s fifi rm was followed by Poor’s Publishing
Company in 1916, the Standard Statistics Company in 1922, and the Fitch Publishing
Company in 1924. These fifi rms’ bond ratings were sold to bond investors in thick
manuals. These fifi rms evolved over time. Dun & Bradstreet bought Moody’s in 1962,
but then subsequently spun it off in 2000 as a free-standing corporation. Poor’s
and Standard merged in 1941; Standard & Poor’s was then absorbed by McGraw-
Hill in 1966.
(BQ) Part 2 book "Corporate bond portfolio management" has contents: Introduction to corporate bond credit analysis, valuation of subordinated structures, early redemption features, credit risk and embedded options, a rating transition framework for corporate bond strategy,...and other contents.
Understanding the relationship between credit and interest rate risk is critical to many applications in finance, from valuation of credit and interest rate-sensitive instruments to risk management. This study empirically examines the relationship between interest rates and default risk using firm level corporate default data in the United States between 1982 and 2008. We find significant negative contemporaneous correlations between the changes in short interest rates and aggregate default rates, with a particularly strong relationship around financial crises.
The Basel paper on interest rate risk divides the responsibilities for interest
rate risk management and oversight among the supreme management body and
senior management. In the context of Austrian corporate law, the senior
management would be the directors of a credit institution authorized to
manage and legally represent it under Article 2 No 1 of the Austrian Banking
This research monograph concerns the design and analysis of discrete-time
approximations for stochastic differential equations (SDEs) driven by Wiener
processes and Poisson processes or Poisson jump measures. In financial and
actuarial modeling and other areas of application, such jump diffusions are
often used to describe the dynamics of various state variables. In finance these
may represent, for instance, asset prices, credit ratings, stock indices, interest
rates, exchange rates or commodity prices.
In this paper, we distinguish the risk of credit spread changes, if no default occurs, and the
risk of the default event itself. We use credit spread data of many different firms and historical
default rates to estimate the size of the default jump risk premium, along with the risk prices of
credit spread changes. We show that, in order to fully explain the size of expected excess
corporate bond returns, an economically and statistically significant default jump risk premium
is necessary, on top of the risk premia that are due to the risk of credit spread changes....
Central to these conditions are developments
in benchmark interest rates. These comprise
mainly the key ECB interest rates, money
market rates and government bond yields,
with the latter containing the term structure of
risk-free rates, domestic sovereign credit risk
and liquidity premia (see Chart 1). These rates
are the main determinants of the conditions of
direct ﬁ nancing in ﬁ nancial markets for both
non-ﬁ nancial and ﬁ nancial corporations and,
consequently, for the wholesale market funding
and deposit funding of banks.
Agency securities. Agency securities are the obligations of federal gov-
ernment agencies or government-sponsored enterprises. Generally, agency
debt offers a slight yield premium over T-bills. Turn back to Chapter 6 for
more on agency securities.
Commercial paper. Commercial paper, or CP, is issued by corporations
(including banks) to ﬁnance short-term cash needs. While smaller corpo-
rations usually depend on bank loans for this type of funding, larger cor-
porations with good credit ratings can access the CP market and often do
For the purpose of this review, green bonds are broadly defined as fixed-income debt securities issued
(by governments, multi-national banks or corporations) in order to raise the necessary capital for a project
which contributes to a low carbon, climate resilient economy. To date, these have been issued
predominantly as AAA-rated securities by the World Bank and other development banks and some other
entities in order to raise capital specifically for climate change and green growth related projects.
We build a three-factor term-structure of interest rates model and use it to price corporate
bonds. The first two factors allow the risk-free term structure to shift and tilt. The third
factor generates a stochastic credit-risk premium. To implement the model, we apply the
Peterson and Stapleton (2002) diffusion approximation methodology. The method approximates
a correlated and lagged-dependent lognormal diffusion processes. We then price
options on credit-sensitive bonds.
The credit quality of a bond depends on the issuer’s ability to pay
interest on the bond and, ultimately, to repay the principal upon
maturity. Independent bond-rating agencies evaluate the financial
health of bond issuers and issue alphabetical credit-quality ratings.
Usually a lower credit rating means that the issuer must pay
higher interest to offset the higher risk that principal and interest
won’t be repaid on time. Figure 2 on page 10 describes the ratings
used by Moody’s Investors Service, Inc., and Standard & Poor’s
Stability Bonds would need to have high credit quality to be accepted by investors.
Stability Bonds should be designed and issued such that investors consider them a very safe
investment. Consequently, the acceptance and success of Stability Bonds would greatly
benefit from the highest rating possible. An inferior rating could have a negative impact on its
pricing (higher yield than otherwise) and on investors' willingness to absorb sufficiently large
amounts of issuance.
Economic policy makers, macroprudential supervisors or investors need reliable empiri-
cal estimates of the equilibrium level of credit in the economy. When the level of credit
is low, high dynamics of credit might re°ect an adjustment to the equilibrium, ¯nancial
deepening in emerging economies for instance. When the level of credit is high, even a
one-digit growth rate of credit may be considered excessive. Deviations of credit from
its equilibrium often lead to a widening of macroeconomic imbalances, e.g.
The excess demand thus drives up
sales prices, which given an unchanged nominal income of private households leads to a
revision of real consumption plans. The increase in sales prices in turn leads to a
redistribution of real incomes from the household to the corporate sector. Thus profits in the
business sectors increase which in the national accounting end up as retained profits and
hence saving by the corporate sector.
The willingness of banks to make such forward commitments to lend to nonbank firms
and households depends very much on the wholesale interbank market. If the wholesale
interbank market works smoothly without counter party risk at positive interest rates, then even
currently illiquid banks can make forward loan commitments to their retail customers. If such a
bank happens to be still illiquid when a corporate customer suddenly draws down its credit
line, the bank can cover its retail commitment by bidding for funds in the wholesale market...