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Measurement and Estimation of Credit Migration Matrices
16 references·3 citing·34 second hop
Measurement and Estimation of Credit Migration Matrices (2003)Measurement and Estimation of Credit Migr…The Paradox of Credit Ratings (2002)The Paradox of Credit RatingsThe Credit Rating Industry: An Industrial Organization Analysis (2002)The Credit Rating Industry: A…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Rating Banks: Risk and Uncertainty in an Opaque Industry (2002)Rating Banks: Risk and Uncert…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings (2001)Finding Generators for Markov…The Information Value of Bond Ratings (2000)The Information Value of Bond…Stability of rating transitions (2000)Stability of rating transitio…Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Tran…Credit risk rating systems at large US banks (2000)Credit risk rating systems at…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …The Credit Rating Industry (1995)The Credit Rating IndustryPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…The Measurement of Mobility (1978)The Measurement of MobilityUsing the artificial neural network to assess bank credit risk: a case study of Indonesia (2009)Using the artificial neural n…Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil (2009)Sistema de classificação de r…Estimating Continuous Time Transition Matrices From Discretely Observed Data (2006)Estimating Continuous Time Tr…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)On cox processes and credit risky securities (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Are credit ratings procyclical? (2004)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Agency costs of free cash flow, corporate finance, and takeovers (1996)Has Financial Development Made the World Riskier? (2005)Rethinking Bank Regulation: Till Angels Govern (2005)Has Finance Made the World Riskier? (2006)Intergenerational Transfers and the Distribution of Earnings (1981)Vulnerability, seasonality and poverty in Ethiopia (2000)Social Mobility and the Demand for Redistribution: The Poum Hypothesis (2001)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Economic Catastrophe Bonds (2008)Systemic Risk Contributions (2011)Determinants and Impact of Sovereign Credit Ratings (1996)The Credit Crisis as a Problem in the Sociology of Knowledge (2011)How rating agencies achieve rating stability (2004)
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References

  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2002Rating Banks: Risk and Uncertainty in an Opaque Industry1,244 cited
  • 1978The Measurement of Mobility789 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
  • 1995The Credit Rating Industry455 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2000The Information Value of Bond Ratings433 cited
  • 2000Credit risk rating systems at large US banks289 cited
  • 2002The Credit Rating Industry: An Industrial Organization Analysis221 cited
  • 2001Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings221 cited
  • 2002The Paradox of Credit Ratings152 cited
  • 2000

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Estimating Credit Rating Transition Probabilities for Corporate Bonds
137 cited

Cited by

  • 2006Estimating Continuous Time Transition Matrices From Discretely Observed Data24 cited
  • 2009Using the artificial neural network to assess bank credit risk: a case study of Indonesia20 cited
  • 2009Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil18 cited