2019/10/21 星期一

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经济学院学术报告之Yonggan Zhao :Predicting Credit Rating Changes Conditional on Economic Strength

2016-05-11, 星期三

报告题目:Predicting Credit Rating Changes Conditional on Economic Strength

报告时间:2016520日(周五)下午1400

报告地点:逸夫建筑艺术馆经济学院703报告厅

人:Yonggan Zhao (赵永淦教授

工作单位:Rowe School of BusinessDalhousie University, Canada

举办单位:经济学院

报告人简介:

赵永淦博士,加拿大风险管理研究讲席教授,现任职于加拿大大尔豪斯大学商学院金融系。自200012 月毕业于加拿大不列颠大学商学院之后,曾任职于新加坡南洋理工大学, 美国普林斯顿大学的客座研究员。主要研究方向有投资组合,金融衍生产品定价与设计,金融风险管理。在金融学,经济学,和管理科学等领域里发表论文三十余篇。多次主持加拿大国家自然科学基金,社会科学基金, 和加拿大创新基金项目。研究成果曾获得北美金融年会最佳论文奖, 并为多个对冲基金和投资机构的投资顾问。他是 Journal of Economic and Administrative Sciences, Journal of Management Mathematics, and Quantitative Finance Letters现任副主编. 曾任两届加拿大拿省华人协会主席。

报告简介:

This paper develops a new structural model for predicting credit rating changes using both financial accounting variables and macroeconomic indicators. A hidden Markov model captures the changing pattern of critical market situations, such as expansion and contraction. The predictions of rating changes over time are then jointly determined contingent upon changes in firm leverage, liquidity and profitability, and the concurrent macroeconomic conditions. The probabilities of firms’ credit rating change (upgrade, stay, downgrade or default) are determined by a regime-switching multinomial logistic regression model using firms’ accounting data. In the empirical analysis, we find that the likelihood of upgrade and downgrade are asymmetric across regimes. The asymmetry of credit rating changes between the high and low rated firms appears to be different from those firms that have an average rating level.

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