Statistical Analyses on Credit Rating Transition of Japanese Corporate Bonds

• Yasuda, Michiko

• Miyazaki, Koichi

Bibliographic Information

Other Title

• 日本社債の格付推移に関する統計的検定
• ニホン シャサイ ノ カクズケ スイイ ニ カンスル トウケイテキ ケンテイ

Abstract

In this research, we statistically clarify the general tendency of credit rating transition of Japanesecorporate bonds that plays very important role in the risk management and the credit derivativepricing. Our major findings are following three points. First, the nature of the credit ratingtransition of investment grade corporate bonds is different from that of speculative grade corporatebonds. Second, the credit rating transitions sector by sector and year by year are significantlyinfluenced by their economic environments. However, in any case, most of the credit ratingtransitions are“unchanged”and“up-grade”or“down-grade”transitions are quite limited. Third,regarding conditional credit rating transition, we see not only the momentum of the credit ratingtransition but also the reversal of it and such a result is a little different from the one in USA.

Journal

• 電気通信大学紀要

  電気通信大学紀要 19 (1-2), 65-75, 2006-12-25

  電気通信大学

Keywords

• Credit rating transition
• Statistical analyses
• Investment grade
• Speculative grade
• Momentum
• Reversal
• Conditional credit rating transition

Details

• CRID: 1050001202923086208
• NII Article ID: 120006315670
• NII Book ID: AN10016842
• ISSN: 09150935
• NDL BIB ID: 8694903
• Web Site: https://uec.repo.nii.ac.jp/records/6960
• Web Site: http://id.ndl.go.jp/bib/8694903
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I8694903
• Text Lang: ja
• Article Type: departmental bulletin paper
• Data Source:
  • IRDB
  • NDL
  • CiNii Articles
  • KAKEN