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Measurement and Estimation of Credit Migration Matrices · Study

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PreprintMeasurement and Estimation of Credit Migration Matrices

Y. Jafry2003

OA

Preprintgreen2003

Measurement and Estimation of Credit Migration Matrices

Y. Jafry · Til Schuermann

37 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Risk and Volatility Modeling Financial Distress and Bankruptcy Prediction

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References

1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1997A Markov Model for the Term Structure of Credit Risk Spreads 2002Rating Banks: Risk and Uncertainty in an Opaque Industry 1978The Measurement of Mobility 2000A comparative anatomy of credit risk models 2000Stability of rating transitions 2002Ratings migration and the business cycle, with application to credit portfolio stress testing 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

Cited by

2006Estimating Continuous Time Transition Matrices From Discretely Observed Data 2009Using the artificial neural network to assess bank credit risk: a case study of Indonesia 2009Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil

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2004Credit Rating Dynamics and Markov Mixture Modelspreprint · 12 shared references 2006On sovereign credit migration: A study of alternative estimators and rating dynamicsarticle · 11 shared references 2010Credit Rating Dynamics in the Presence of Unknown Structural Breakspreprint · 10 shared references 2004Measurement, estimation and comparison of credit migration matricesarticle · 9 shared references 2011Credit rating dynamics in the presence of unknown structural breaksarticle · 9 shared references 2008Split bond ratings and rating migrationarticle · 8 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.394021

openalex_workW2126322685

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