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@article{6690, author = {Budinský, Petr and Bezvoda, Michal}, article_location = {Sumy (Ukraine)}, article_number = {1}, doi = {http://dx.doi.org/10.21272/mmi.2018.1-25}, keywords = {credit rating; credit risk management; rating agency; credit default swap (CDS); cumulative probability of default}, language = {eng}, issn = {2218-4511}, journal = {Marketing and Management of Innovations}, title = {Innovative approach to the management of credit risk}, url = {http://mmi.fem.sumdu.edu.ua/sites/default/files/mmi2018_1_327_337.pdf}, volume = {Neuveden}, year = {2018} }
TY - JOUR ID - 6690 AU - Budinský, Petr - Bezvoda, Michal PY - 2018 TI - Innovative approach to the management of credit risk JF - Marketing and Management of Innovations VL - Neuveden IS - 1 SP - 327-337 EP - 327-337 PB - Sumy State University SN - 22184511 KW - credit rating KW - credit risk management KW - rating agency KW - credit default swap (CDS) KW - cumulative probability of default UR - http://mmi.fem.sumdu.edu.ua/sites/default/files/mmi2018_1_327_337.pdf L2 - http://mmi.fem.sumdu.edu.ua/sites/default/files/mmi2018_1_327_337.pdf N2 - Credit rating is a traditional measurement of credit risk in financial markets. This paper introduces an innovative approach based on implied ratings defined by CDS spreads. Using this approach the credit risk can be better managed because CDS are provided on daily basis. The implied rating is compared with credit ratings provided by Moody´s, S&P, and Fitch. The model of implied rating deals only with sovereign ratings. 52 countries were chosen for comparison of both types of above-mentioned ratings. The model uses cumulative default probabilities (CPD) derived from CDS spreads and the main results are CPD intervals which define implied credit ratings. For those countries where the credit rating and implied credit rating are different, the paper shows how implied rating can serve as a signal for potential upgrade or downgrade of the credit rating provided by rating agencies. The presented model is also used to verify ratings provided by Moody´s, S&P, and Fitch in cases where these agencies provide different ratings for a specific country. This is especially important when some ratings are investment-grade and others are speculative-grade. ER -
BUDINSKÝ, Petr a Michal BEZVODA. Innovative approach to the management of credit risk. \textit{Marketing and Management of Innovations}. Sumy (Ukraine): Sumy State University, 2018, Neuveden, č.~1, s.~327-337. ISSN~2218-4511. Dostupné z: https://dx.doi.org/10.21272/mmi.2018.1-25.
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