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Bayesian inference for issuer heterogeneity in credit ratings migration
16 references·4 citing·38 second hop
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References

  • 1998Law and Finance17,902 cited
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  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2001Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings221 cited
  • 1994Modeling Household Purchase Behavior with Logistic Normal Regression202 cited
  • 2005Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK185 cited
  • 2004Measurement, estimation and comparison of credit migration matrices182 cited
  • 2006Bayesian inference for generalized linear mixed models of portfolio credit risk180 cited
  • 1989Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges, and Calls176 cited
  • 2004Confidence sets for continuous-time rating transition probabilities136 cited
  • 1998The importance and subtlety of credit rating migration

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129 cited
  • 1998Financial Systems and Corporate Governance: A Review of the International Evidence118 cited
  • Cited by

    • 2008Modeling Ordered Choices: A Primer and Recent Developments100 cited
    • 2014Intensity models and transition probabilities for credit card loan delinquencies36 cited
    • 2008Forecasting credit migration matrices with business cycle effects—a model comparison25 cited
    • 2014Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle24 cited