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Estimating Credit Rating Transition Probabilities for Corporate Bonds
16 references·16 citing·44 second hopsampled
Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Transition Proba…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…On cox processes and credit risky securities (1998)On cox processes and credit r…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data (1992)Debt, Liquidity Constraints, …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Does Unemployment Cause Future Unemployment? Definitions, Questions and Answers from a Continuous Time Model of Heterogeneity and State Dependence (1980)Does Unemployment Cause Futur…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Measuring Business Cycles (1947)Measuring Business CyclesMacroeconomic Default Modeling and Stress Testing (2018)Macroeconomic Default Modelin…When Everyone Runs for the Exit (2009)When Everyone Runs for the Ex…Time Varying and Dynamic Models for Default Risk in Consumer Loans (2009)Time Varying and Dynamic Mode…Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey (2009)Analysis of sectoral credit d…Valuation of default-sensitive claims under imperfect information (2008)Valuation of default-sensitiv…Individual stock-option prices and credit spreads (2008)Individual stock-option price…Frailty Correlated Default (2008)Frailty Correlated DefaultCredit cycles and macro fundamentals (2008)Credit cycles and macro funda…A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (2008)A Non-Gaussian Panel Time Ser…The multi-state latent factor intensity model for credit rating transitions (2007)The multi-state latent factor…On sovereign credit migration: A study of alternative estimators and rating dynamics (2006)On sovereign credit migration…Homogeneous semi-Markov reliability models for credit risk management* (2006)Homogeneous semi-Markov relia…Empirical credit cycles and capital buffer formation (2005)Empirical credit cycles and c…Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities (2005)Capital requirements and busi…Confidence sets for continuous-time rating transition probabilities (2004)Confidence sets for continuou…Bankruptcy Prediction With Industry Effects (2001)Bankruptcy Prediction With In…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. 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(1999)The Stock Market Valuation of Research and Development Expenditures (2001)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1992Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data1,686 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1947Measuring Business Cycles1,481 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1980Does Unemployment Cause Future Unemployment? Definitions, Questions and Answers from a Continuous Time Model of Heterogeneity and State Dependence

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1,054 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
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    • 2004Confidence sets for continuous-time rating transition probabilities136 cited
    • 2007The multi-state latent factor intensity model for credit rating transitions134 cited
    • 2008Credit cycles and macro fundamentals126 cited
    • 2008Frailty Correlated Default116 cited
    • 2005Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities98 cited
    • 2008Individual stock-option prices and credit spreads87 cited
    • 2009When Everyone Runs for the Exit87 cited
    • 2005Empirical credit cycles and capital buffer formation85 cited
    • 2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk75 cited
    • 2009Time Varying and Dynamic Models for Default Risk in Consumer Loans74 cited
    • 2018Macroeconomic Default Modeling and Stress Testing65 cited
    • 2009Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey61 cited
    • 2008Valuation of default-sensitive claims under imperfect information60 cited
    • 2006Homogeneous semi-Markov reliability models for credit risk management*60 cited
    • 2001Bankruptcy Prediction With Industry Effects58 cited
    • 2006On sovereign credit migration: A study of alternative estimators and rating dynamics57 cited