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Modelling Credit Risk in Indian Bond Markets

by Jayanth R. Varma of the Indian Institute of Management, and
V. Raghunathan of the Indian Institute of Management

June 2000

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.

Published in: ICFAI Journal of Applied Finance Vol. 6, No. 3, (July 2000), pp. 53-67.

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