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Non‐Parametric Analysis of Rating Transition and Default Data

Peter Fledelius · David Lando · Jens Perch Nielsen

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

Abstract

We demonstrate the use of non-parametric intensity estimation - including construction of pointwise confidence sets - for analyzing rating transition data. We find that transition intensities away from the class studied here for illustration strongly depend on the direction of the previous move but that this dependence vanishes after 2-3 years.

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1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?2000Stability of rating transitions 2002Ratings migration and the business cycle, with application to credit portfolio stress testing 2002Analyzing rating transitions and rating drift with continuous observations 2003An anatomy of rating through the cycle 2004Avoiding the rating bounce: why rating agencies are slow to react to new information 2001Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework”1992The Implications of Corporate Bond Ratings Drift

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