By: Rakeen R, Javier C, Kelly T & Lisa W
Overview
This analysis rigorously explores critical dimensions of credit risk based on a dataset compiled as of September 22, 2023, with a specific focus on bonds issued exclusively by S&P 500-listed companies. Encompassing essential information such as bond details, company fundamentals, credit ratings, and social sentiment indicators, the research addresses two central inquiries – the determinants of a bond’s credit rating and the predictability of credit spreads. Employing a linear regression model, the research introduces a model with a root mean squared error (RMSE) of 0.2676 and an R-squared of 0.6965 in predicting credit spreads. Addtionally, utilizing an ordinal regression model, the study unveils key insights, highlighting the substantial impact of factors like credit spread, market capitalization, and debt-to-assets ratio on credit ratings. This comprehensive exploration offers valuable implications for investors and financial analysts navigating the intricacies of credit risk within the dynamic financial landscape.
Project Proposal
Please find the EDA in the Project_Proposal.pdf file in the root directory of this project
Exploratory Data Analysis (EDA)
Please find the EDA in the ExploratoryDataAnlysis.pdf file in the root directory of this project
Statistical Analysis Plan
Please find the Statistical Analysis Plan in the StatisticalAnalysisPlan.pdf file in the root directory of this project
Final Report
Please find the Final Report in the Group7_Final_Report.pdf file in the root directory of this project