Predicting Agency Rating Migrations with Spread Implied Ratings

Investors traditionally rely on credit ratings to price debt instruments. However, rating agencies are known to be prudent in their approach to rating revisions, which results in delayed ratings adjustments to mutating credit conditions. For a large set of eurobonds we derive credit spread implied ratings and compare them with the ratings issued by rating agencies. Our results indicate that spread implied ratings often anticipate future movement of agency ratings and hence could help track credit risk in a more timely manner. This finding has important implications for risk managers in banks who, under the new Basel 2 regulations, have to rely more on credit ratings for capital allocation purposes, and for portfolio managers who face rating-related investment restrictions.credit rating, spread implied rating, credit risk

Empirical studies of credit rating and spread dynamics

This thesis concentrates on the empirical analysis of credit ratings and credit spreads. In four relatively independent chapters, we look at the predicting power of yield spread implied ratings, Markov property of credit ratings and the dynamics of yield spreads. In the first chapter, we develop an implied rating for a large dataset of Eurobonds based on their yield spreads, taking into account the term structure effect and the time-varying spread levels. Our analysis shows that spread implied ratings and the time-varying spread levels. Our analysis shows that spread implied ratings are able to predict the future movements of agency ratings. When the spread implied rating is persistently different from the agency rating, it is very likely that if there is an agency rating adjustment, it will be in the direction that the spread implied rating points to. Both upgrade and downgrade are anticipated by spread-implied ratings well ahead of the events.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

1.3 V superwide potential window sponsored by Na-Mn-O plates as cathodes towards aqueous rechargeable sodium-ion batteries

Aqueous rechargeable sodium-ion batteries (ARSIBs) are highly desirable for the large-scale energy storage due to their inherent high safety and low-cost. Na-Mn-O electrode material has been considered as a promising cathode, yet the redox potential window is still not fully explored and utilized in aqueous rechargeable sodium-ion batteries. Herein, a chemical bonded Na0.44MnO2 (NMO) plates are successfully synthesized via a polyvinylpyrrolidone-assisted sol-gel route followed by annealing process. The possibility of utilizing a wider potential window ranging between −0.3 V and 1.0 V vs. Ag/AgCl in mild aqueous electrolyte has been thus demonstrated by using NMO plates as cathodes for the first time. As a result, the as-synthesized NMO plates can deliver a highest initial discharge capacity of 77.2 mA h g−1 at a current density of 100 mA g−1, compared with previous Na-Mn-O reports in mild aqueous electrolyte in ARSIBs. Even at a high rate of 500 mA g−1, it still maintains a large capacity of 35 mA h g−1 after 1000 cycles, demonstrating its superior cycling stability. In addition, ex situ SEM and TEM-EDX results reveal that there is a newly formed sheet-like layer Na-birnessite Na0.55Mn2O4·1.5H2O on the surface of NMO cathodes, which can provide extra ion channel for sodium ions and stabilize the electrode from pulverization, resulting in improved cycling stability. This study provides a broad implication for developing low-cost, high performance cathode materials to broaden the applied potential window towards high performance ARSIBs.NRF (Natl Research Foundation, S’pore)MOE (Min. of Education, S’pore)Accepted versio