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ÜLKE DERECELENDİRME SİSTEMİNİN MARKOV ZİNCİRİ İLE ANALİZİ

ANALYSIS OF SOVEREIGN CREDIT SYSTEM WITH MARKOV CHAINS

Journal Name:

  • Yönetim-İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Dergisi

Publication Year:

  • 2011

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Credit rating of a country is essential for a country which wants to borrow from international capital markets. The aim of the assessing sovereign credit risk is defining losses for a country where too much debt is required because of economic, social and political effects. Sovereign credit ratings are assessed by several independent institutions. In this study Markov Chain is formed by using data from Moody's. Transition matrix which is prerequisite for the Markov chain analysis of sovereign credit ratings, is formed then results of steady state analysis and mean first transition time analysis are evaluated
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Abstract (Original Language): 
Bir ülkenin kredi riski notu o ülkenin uluslararası sermaye piyasalarındaki borçlanmasının temel dayanak noktasıdır. Ülke kredi riskinin belirlenmesinin amacı; bir ülkede meydana gelen ekonomik, sosyal ve siyasal olaylar nedeni ile borç vermedeki konulan sınırların aşılması sebebiyle uğramlan kayıpların belirlenmesidir. Bu ülke kredi riski notları ise bağımsız birçok kuruluş tarafından belirlenmektedir. Çalışmada; bu kuruluşlardan biri olan "Moody's"in verileri esas alınarak Markov zinciri oluşturulmuştur. Ülke kredi notlarının Markov zinciri analizi için gerekli olan geçiş matrisine ulaşılarak, zincirin kararlı hal analizi ve ortalama ilk geçiş zamam analiz sonuçları incelenmiştir.
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REFERENCES

References: 

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