Modelling credit risk in Indian bond markets

dc.contributor.author	Varma, Jayanth R.
dc.contributor.author	Raghunathan, V.
dc.date.accessioned	2010-01-16T11:42:30Z
dc.date.available	2010-01-16T11:42:30Z
dc.date.copyright	2000-04
dc.date.issued	2010-01-16T11:42:30Z
dc.identifier.uri	http://hdl.handle.net/11718/786
dc.description.abstract	Government bonds are subject only to interest rate risk. However, corporate bonds are subject to credit risk in addition to interest rate risk. Credit risk subsumes the risk of default as well as the risk of an adverse rating change. Considerable work has been done in the US and other countries on credit rating migrations. However, there is little work done in India in this regard. In this paper therefore, we analyse credit rating migrations in Indian corporate bond market to bring about greater understanding of its credit risk.	en
dc.language.iso	en	en
dc.relation.ispartofseries	WP;2000-04-02/1594
dc.subject	Bond market - Asia	en
dc.subject	Government Bonds	en
dc.subject	Credit risk	en
dc.title	Modelling credit risk in Indian bond markets	en
dc.type	Working Paper	en