Financial Econometrics and Empirical Market Microstructure
Modeling of Ratings and the Probability of Default Forecast Models
A lot of research is devoted to the difference in the ratings of the main international CRAs. They provide adjustments of explanatory financial and macroeconomic variables on the new horizon analysis dependence of ratings on their affiliation to specific groups of countries, their degradation over time, lags between dependence and independence variables, etc.
Firstly, econometric rating modeling needs comprehensive and well-organized data. Secondly, the class of econometric models and principles of their verification should be selected. A modern risk management system based on best practice is the next important component. Finally, such a system needs domestic experience data that would take into account the specifics of a country.
In this section we systemize the practice of research of such models for banks, corporations and countries in Russian bank applications. Additionally we will discuss the opportunities of the probability of default models in the case of Russia. We use the existing experience of such research, which was obtained and published in previous works. In this paper we try to understand how this knowledge may be accumulated in the JRE system.
