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The estimation of transition matrices for sovereign credit ratings · Study

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ArticleThe estimation of transition matrices for sovereign credit ratings

Yen-Ting Hu2002

OA

Articlegreen2002

The estimation of transition matrices for sovereign credit ratings

Yen-Ting Hu · Rüdiger Kiesel · William Robert Maurice Perraudin

170 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Distress and Bankruptcy Prediction

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References

1998The Determinants of Banking Crises in Developing and Developed Countries 2000Stability of rating transitions 1998What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?1984LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80 2002Analyzing rating transitions and rating drift with continuous observations 1986The pricing of bonds and bank loans in international markets 1985The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing 2005The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990s

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2009Variations in sovereign credit quality assessments across rating agencies 2011Public finances in EMU 2015What “Hides” Behind Sovereign Debt Ratings?2004Rating the rating agencies: Anticipating currency crises or debt crises?2007The impact of macroeconomic announcements on emerging market bonds

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations170

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/s0378-4266(02)00268-6

openalex_workW1998907083

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2017

Sovereign credit rating determinants: A comparison before and after the European debt crisis

2011PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies

2008Ordered response models for sovereign debt ratings†