This thesis first examines the one-year rating migration behavior of Canadian corporate debt issuers rated by Standard and Poor's between January 1981 and December 2001. Obligors are sorted into three industry groups---financials, industrials and utilities. The studied period is divided between years of expansion and recession. The corresponding conditional rating migration patterns are compared with unconditional estimates in order to assess the reliability of the latter, which are traditionally used to evaluate credit risk. Our unconditional results show that the average credit quality of Canadian corporate obligors has deteriorated over the studied period, in particular during the 1981--1982 and 1990--1992 recession years. On average, issuers in the industrials sector underwent the deepest credit quality deterioration and highest rating activity ratio. Furthermore, we find that industry- and economy-conditioned rating migration dynamics significantly differ from their unconditional estimates. However, the one-year rating transition matrix is weakly influenced by the stage in the business cycle or by the obligor's industry.; Secondly, we compare the performance for Canadian corporate bonds between February 1993 and May 2002. We find that the term structure of interest rates is a major determinant of bond returns regardless of the bond rating class, maturity bucket or industry.; Finally, we show that the total volatility of Canadian corporate bonds has slightly decreased over the 1993 to 2002 period. Following Campbell, Lettau, Malkiel and Xu (2001), we examine the market, industry and firm-specific volatility components of bond returns. We find that the relative and absolute levels of market volatility remain fairly low and steady over the sample period. However, the relative level of firm-specific volatility has sharply increased. Simultaneously, the industry volatility level has decreased. Augmented Dickey-Fuller tests provide no evidence of deterministic trends in these volatility components.
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机译：本文首先研究了由标准普尔（Standard and Poor's）在1981年1月至2001年12月对加拿大公司债务发行人进行的一年期评级迁移行为。债务人分为三个行业组别-金融，工业和公用事业。研究期分为几年的扩张和衰退。将相应的有条件评级迁移模式与无条件估计值进行比较，以评估后者的可靠性，后者通常用于评估信用风险。我们的无条件结果表明，在研究期间，特别是在1981--1982年和1990--1992年经济衰退期间，加拿大公司债务人的平均信用质量已经下降。平均而言，工业部门的发行人经历了最严重的信贷质量恶化和最高的评级活动比率。此外，我们发现，以行业和经济为条件的评级迁移动态显着不同于其无条件的估计。但是，一年的评级过渡矩阵受商业周期阶段或债务人行业的影响很小。其次，我们比较了1993年2月至2002年5月加拿大公司债券的表现。我们发现，利率的期限结构是债券收益率的主要决定因素，而与债券的评级等级，期限和行业无关。最后，我们表明，加拿大公司债券的总波动率在1993年至2002年期间略有下降。继Campbell，Lettau，Malkiel和Xu（2001）之后，我们研究了债券收益率的市场，行业和企业特定的波动成分。我们发现，在样本期内，市场波动的相对和绝对水平仍然相当低且稳定。但是，公司特定波动率的相对水平急剧上升。同时，行业波动水平有所下降。增强的Dickey-Fuller检验没有提供这些波动性成分确定性趋势的证据。
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