credit rating

Wednesday, February 21, 2018 - 9:10am - 9:50am
Haipeng Xing (State University of New York, Stony Brook (SUNY))
The financial crisis of 2007-2008 has caused severe economic and
political consequences over the world. An interesting question from this
crisis is whether or to what extent such sharp changes or structural
breaks in the market can be explained by economic and market fundamentals.
To address this issue, we consider a model that extracts the information
of market structural breaks from firms' credit rating records, and
connects probabilities of market structural breaks to observed and latent
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