Chapter 11 Credit Risk Estimating Default Probabilities 风险管理与金融机构PPT（英文）.pptVIP

Credit Risk: Estimating Default Probabilities Chapter 11 Credit Ratings (7) In the SP rating system, AAA is the best rating. After that comes AA, A, BBB, BB, B, and CCC The corresponding Moody抯 ratings are Aaa, Aa, A, Baa, Ba, B, and Caa Bonds with ratings of BBB (or Baa) and above are considered to be 搃nvestment grade?Most banks have their own internal ratings systems for borrowers Altman抯 Z-score (Manufacturing companies) page 257 X1=Working Capital/Sales X2=Retained Earnings/Total Assets X3=EBIT/Total Assets X4=Market Value of Equity/Book Value of Liabilities X5=Sales/Total Assets