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Throughout the global financial crisis that arose in 2007–2008, very large companies and even sovereign states defaulted or were on the point of defaulting. This situation raised the vigilance of risk managers about their risk assessment. The general image about Credit Risk Agencies (CRA) has also been shaken and weakened by the crisis.

A great tool to quantify the counterparty credit risk is the probability of default (PD), which has also an effect on pricing of derivatives and loans. Since a few years, the Markov chain method became a norm to estimate PD and even migration matrices.

In this paper, a focus is made on long-term foreign currency credit ratings for sovereign bonds and more precisely, on the subsample containing advanced companies. An approach to implementing the Markov chain method in both discrete and continuous time is addressed. An implementation of this method and the literature about the subject permitted to conclude that the continuous time is more advantageous.

Furthermore, a study of the time-homogeneity assumption is taken and showed that this assumption is a simplification and is usually wrong. The evolution of both the advanced economies and the other sovereign states through the economic cycle is also investigated. By using recession and expansion migration matrices, large differences of estimated PDs over the economic cycle were found. Also the investigation of advanced economies allowed to state that advanced companies are much less submitted to credit rating downgrades than other sovereign states.

Matrice de transition --- Probabilité de défaut --- Chaîne de Markov --- Agence de notation --- Notation financière --- Sciences économiques & de gestion > Finance

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Créées au début du siècle dernier pour informer les investisseurs sur la santééconomique des entreprises de chemin de fer, les agences de notation financièredéfrayent la chronique. Mises en cause en 2008 pour leurs notations des produitsstructurés responsables de la « crise des subprimes », elles sont aujourd'hui critiquéesen tous sens pour leur rôle dans la crise de la dette souveraine. Hier encore structuresmystérieuses du monde de l'expertise, les agences de notation financières sontdésormais au coeur des débats d'une opinion publique inquiète : - Quelles méthodes de notation financière mettent-elles en oeuvre et que faut-il enpenser ? - Comment ont-elles été propulsées au rang de régulateur mondial du crédit ? - Quelles sont les règles juridiques qui encadrent ou devraient encadrer leurs actions ? - Ne sont-elles pas en train de faire main basse sur des enjeux politiques à l'égarddesquels elles ne jouissent d'aucune légitimité ? - Ne sont-elles pas également un symptôme d'une évolution plus fondamentale de lagouvernance globale ? Autant de questions que se posent tant les spécialistes de ces matières que les citoyenset auxquelles le présent ouvrage entend apporter des éléments de réponse au carrefourde la science économique, de la science juridique et de la philosophie du droit.

Economic law --- Financial law --- Rating agencies (Finance) --- Capital market --- Financial instruments --- Bond market --- Economic forecasting. --- Economic indicators --- Agences de notation (Finances) --- Marché financier --- Instruments financiers --- Marché obligataire --- Prévision économique --- Indicateurs économiques --- Law and legislation --- Droit --- EPUB-ALPHA-A EPUB-LIV-FT LIVDROIT STRADA-B --- Capitalism --- Credit ratings --- Global Financial Crisis (2008-2009) --- Agences de notation (finances) --- Cotes de solvabilité --- Services financiers --- Corporations --- Credit bureaus --- Ratings and rankings --- agence de notation --- AA / International- internationaal --- 333.663 --- 336.312.3 --- 333.130.2 --- 333.139.2 --- ratingbureau --- rating van bedrijven. --- Solvabiliteit, kredietwaardigheid van de landen. Risicolanden. --- Bankliquiditeit. Verplichte reserves. Solvabiliteit. --- Bankcontrole en -reglementering. Reglementering van het bankberoep. --- E-books --- rating van bedrijven --- Solvabiliteit, kredietwaardigheid van de landen. Risicolanden --- Bankliquiditeit. Verplichte reserves. Solvabiliteit --- Bankcontrole en -reglementering. Reglementering van het bankberoep --- Corporations - Ratings and rankings --- Credit ratings. --- Financial crises.