Rating migration
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time and through-the-cycle PD levels.)
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
Rating migrations of US financial institutions: are different outcomes equivalent?
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.