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A likelihood ratio test for stationarity of rating transitions
13 references·0 citing·49 second hop
A likelihood ratio test for stationarity of rating transitions (2009)A likelihood ratio test for stationarity …Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…How Do Banks Determine Capital? Evidence from Germany (2008)How Do Banks Determine Capita…The multi-state latent factor intensity model for credit rating transitions (2007)The multi-state latent factor…Credit rating dynamics and Markov mixture models (2007)Credit rating dynamics and Ma…A simulation estimator for testing the time homogeneity of credit rating transitions (2006)A simulation estimator for te…Credit Rating Dynamics and Markov Mixture Models (2004)Credit Rating Dynamics and Ma…Confidence sets for continuous-time rating transition probabilities (2004)Confidence sets for continuou…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Rating Drift in High-Yield Bonds (1992)Rating Drift in High-Yield Bo…Econometric duration analysis (1984)Econometric duration analysisCentral limit theorems for local martingales (1980)Central limit theorems for lo…Conditional logit analysis of qualitative choice behavior (1972)Job Matching and the Theory of Turnover (1979)A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data (1984)The Choice Theory Approach to Market Research (1986)A latent class model for discrete choice analysis: contrasts with mixed logit (2003)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Modeling and Forecasting Realized Volatility (2003)Frailty Correlated Default (2009)Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)A Markov Model for the Term Structure of Credit Risk Spreads (1997)On cox processes and credit risky securities (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)Common Failings: How Corporate Defaults Are Correlated (2007)On Square Integrable Martingales (1967)Diffusion processes with continuous coefficients, I (1969)A Functional Central Limit Theorem for Semimartingales (1981)Stopping Times and Tightness. II (1989)Martingale proofs of many-server heavy-traffic limits for Markovian queues (2007)Queue-and-Idleness-Ratio Controls in Many-Server Service Systems (2009)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)How rating agencies achieve rating stability (2004)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios (2011)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Stability of rating transitions (2000)The credit rating process and estimation of transition probabilities: A Bayesian approach (2008)The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market (2010)An Overview of Personal Credit Scoring: Techniques and Future Work (2012)The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)Risk and Valuation of Collateralized Debt Obligations (2001)Differential properties in the ratings of certified versus non-certified bond-rating agencies (2006)Procyclicality in Basel II: Can we treat the disease without killing the patient? (2006)The adjustment of credit ratings in advance of defaults (2006)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Coherent Measures of Risk (1999)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Credit risk modeling with affine processes (2005)Neural nets versus conventional techniques in credit scoring in Egyptian banking (2007)A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method (2018)Friends with money (2011)
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References

  • 2010Basel Committee On Banking Supervision1,610 cited
  • 1984Econometric duration analysis618 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 Modeling327 cited
  • 1980Central limit theorems for local martingales253 cited
  • 2007Credit rating dynamics and Markov mixture models140 cited
  • 2004Confidence sets for continuous-time rating transition probabilities136 cited
  • 2007The multi-state latent factor intensity model for credit rating transitions134 cited
  • 1992Rating Drift in High-Yield Bonds104 cited
  • 2008How Do Banks Determine Capital? Evidence from Germany72 cited
  • 2004Credit Rating Dynamics and Markov Mixture Models38 cited
  • 2006A simulation estimator for testing the time homogeneity of credit rating transitions34 cited

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