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Estimating Credit Rating Transition Probabilities for Corporate Bonds · Study

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PreprintEstimating Credit Rating Transition Probabilities for Corporate Bonds

Dimitrios Kavvathas2000

OA

Preprintgreen2000

Estimating Credit Rating Transition Probabilities for Corporate Bonds

Dimitrios Kavvathas

137 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1993Common risk factors in the returns on stocks and bonds 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1979Martingales and arbitrage in multiperiod securities markets 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 1991Common Factors Affecting Bond Returns 1992Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data

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2004Confidence sets for continuous-time rating transition probabilities 2007The multi-state latent factor intensity model for credit rating transitions 2008Credit cycles and macro fundamentals 2008Frailty Correlated Default 2005Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities 2009When Everyone Runs for the Exit

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2003The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factorspreprint · 9 shared references 2005A Survey of Cyclical Effects in Credit Risk Measurement Modelspreprint · 9 shared references 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivativesarticle · 9 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 9 shared references 2002Pricing Credit Derivatives with Rating Transitionsarticle · 9 shared references 2003Term Structure Dynamics in Theory and Realityarticle · 8 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations137

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.252517

openalex_workW1519502948

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2008Individual stock-option prices and credit spreads

2005Empirical credit cycles and capital buffer formation