Two indices of market condition changes based on rating migration matrices

2015 
The article is dedicated to the study of rating changes under the conditions of critical tendencies in the market with the help of rating transition probability matrices. The author revealed the need for developing a tool for negative market events indication based on the general public’s inability to calculate the existing indicators of the Moody’s Investors Service rating agency. The article introduces two new indices, Migration drift index and Drift Complicated Index, built on the basis of rating migration matrices, to analyze the credit quality of the market and its members. The possibility to use them by all the concerned parties is highlighted. Based on testing of the indices, it is defined that the created indicators have a forecasting power that matches Moody’s indicators and even allow improving their rates in some cases.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    0
    Citations
    NaN
    KQI
    []