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Default and Transition Analysis of Corporate Debt Rating
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Journal Article
Default and Transition Analysis of Corporate Debt Rating
2010
Overview
Basel II implementation has made it compulsory for banks to estimate default risk for proper credit risk measurement in the bank. The present study is undertaken primarily to view the distribution of rating transitions conditional on rating of the issuers and economic activity of the issuer for the period from January 1994 to January 2009. The CRISIL's annual ratings of long term debts issued by corporate formed the basis of the analysis. It is found from the analysis that the least stable retention rate was found in low rating grades issuer and default rates, in contrast, were observed high. The analysis clearly indicates that the ratings transition is cyclical in nature and so the default probability.
Publisher
SAGE Publications,Foundation for Organisational Research & Education,Foundation for Organizational Research and Education (FORE)
