Abstract

MARTINEZ VAZQUEZ, David Conaly; BUCIO PACHECO, Christian  and  CABELLO ROSALES, Alejandra. Markovian Projection of Mexican Corporate Credit Ratings by 2020 and 2021. Rev. mex. econ. finanz [online]. 2021, vol.16, n.1, e504.  Epub May 06, 2021. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i1.504.

A key element for decision-making in financial markets and the economy is the prospects of corporate credit; their ratings are a key reference to the uncertainty of economic scenarios and the movement of their own financial assets in the market. This paper analyzes the short-term dynamics of credit ratings of major corporations in Mexico; it examines the evolution of corporate sector ratings in Mexico and simulates their behavior, using data from the reports of Fitch Mexico 2002-2018 National Corporate Qualifications. The Markov chain methodology is used, first the probabilities of transition are estimated through Maximum Likelihood to confirm the methodological efficiency and later projections for 2020 and 2021 are generated. Empirical evidence shows that credit ratings of Mexican corporations show a declining but stable trend in the short term. It is recommended that both companies and the government deepen economic diversification and maintain disciplined management of their operations as factors that help sustaining favorable investment grades.

Keywords : Markov Chain; Rating Agencies; Corporate Credit Ratings; Mexican Stock Market.

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