Πίνακες αξιολόγησης πιστοληπτικής ικανότητας και η επιρροή τους στα επιτόκια των ομολόγων

Λαμπαδιάρη, Αριάδνη

Credit rating tables and their influence on bond coupon rates

Master Thesis

Author

Λαμπαδιάρη, Αριάδνη

Date

2026-03

Abstract

This thesis examines the relationship between credit ratings and bond coupon rates. Credit ratings constitute a fundamental tool for the assessment of credit risk and are widely used by investors in order to evaluate the creditworthiness of issuers and support investment decision-making. The objective of this study is to investigate the extent to which changes in credit ratings affect sovereign bond yields. First, the theoretical framework of credit rating is presented and the role of the Credit Rating Agencies in financial markets is analysed. The main rating methodologies, the rating process, the credit rating scales and the formation of credit assessments are described, along with the regulatory framework governing Credit Rating Agencies. In addition, the theoretical relationship between credit risk and bond yields is examined, according to which bond yields consist of a risk-free interest rate and a credit spread, reflecting the issuer’s credit risk. In the empirical part of the study, a statistical analysis is conducted using data from ten-year government bonds of ten Eurozone countries over the period 2015-2024. Annual bond yields are compared with the yields of the German government bond, which is used as a benchmark, while the main variable examined is the credit spread of the bonds. To investigate the relationship between credit ratings and bond spreads, a one-way analysis of variance (ANOVA) is applied. The results indicate a positive and statistically significant relationship between credit ratings and sovereign bond credit spreads. Countries with lower credit ratings exhibit higher spreads, indicating a higher borrowing cost. Furthermore, changes in credit rating are associated with corresponding changes in bond yields, confirming the important role of credit ratings in the determination of sovereign interest rates. Overall, the findings of this study confirm that credit ratings constitute an important determinant of sovereign bond yields and contribute to the differentiation of borrowing costs among Eurozone countries. The thesis is organized into the following chapters: Chapter 1 presents the Credit Rating Agencies, where their role and function in financial markets are analyzed in detail, along with their historical development over time.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διαχείριση Κινδύνων

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/19166

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα