Assessing the Influence of Downgrade Momentum on Evaluating Credit Migrating Metrices

• 발행기관: 사단법인 아시아비즈니스혁신학회
• 저자명: Edward Domina Attafuah Michael Kwakye
• 간행물 정보: 『Journal of Asian Business Innovation (JABI)』Vol.2 No.1, 1~8쪽, 전체 8쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2025.06.30

국문 초록

This study explores the influence of downgrade momentum on evaluating credit migration metrics, with a focus on the predictive power of downgrade trends in credit rating transitions. Credit ratings are integral to assessing credit risk and determining investment strategies, but they often fail to capture the full dynamics of credit risk, particularly in relation to downgrade trends. This research aims to assess the impact of downgrade momentum on transition matrices, default probabilities, and credit migration predictions. The study employs a mixed-methods approach, utilizing statistical tools such as regression analysis, transition matrix analysis, and time series modeling to investigate the relationship between downgrade momentum and future credit ratings. The findings reveal that downgrade momentum plays a significant role in predicting future credit downgrades. Issuers that experience multiple downgrades exhibit a higher likelihood of subsequent downgrades, with downgrade momentum enhancing the accuracy of credit migration models. The study also highlights the interaction of financial ratios and broader market conditions with downgrade momentum, underscoring its relevance as a predictive tool in credit risk assessments. The results contribute to the existing body of knowledge by providing empirical evidence that downgrade momentum is a critical factor in understanding credit rating transitions. Furthermore, the study offers practical insights for credit rating agencies, investors, and policymakers, emphasizing the importance of integrating downgrade momentum into credit risk models for more informed decisionmaking. This research paves the way for further exploration into the role of downgrade momentum in credit risk management and encourages the incorporation of such trends in evaluating credit ratings to enhance prediction accuracy and reduce investment risk.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results and Discussion

5. Conclusions

Declaration of competing interests

Acknowledgements

References

키워드

Downgrade Momentum Credit Migration Metrics Credit Rating Transitions Transition Matrices