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Credit Rating Migration Risk and Business Cycles
16 references·2 citing·42 second hop
Credit Rating Migration Risk and Business Cycles (2012)Credit Rating Migration Risk and Business…Modeling the effect of macroeconomic factors on corporate default and credit rating transitions (2011)Modeling the effect of macroe…Credit Risk Modeling using Excel and VBA (2011)Credit Risk Modeling using Ex…Do Firms Target Credit Ratings or Leverage Levels? (2009)Do Firms Target Credit Rating…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…Procyclicality in Basel II: Can we treat the disease without killing the patient? (2006)Procyclicality in Basel II: C…Measurement, estimation and comparison of credit migration matrices (2004)Measurement, estimation and c…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…Assessing Credit Rating Agencies by Bond Issuers and Institutional Investors (2002)Assessing Credit Rating Agenc…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Stability of rating transitions (2000)Stability of rating transitio…Forecasting inflation (1999)Forecasting inflationAn evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…Measuring Changes in Corporate Credit Quality (1994)Measuring Changes in Corporat…Rating Drift in High-Yield Bonds (1992)Rating Drift in High-Yield Bo…Predicting corporate investment/non-investment grade by using interval-valued fuzzy rule-based systems—A cross-region analysis (2017)Predicting corporate investme…Financial Regulations, Financial Literacy, and Financial Inclusion: Insights from Kenya (2017)Financial Regulations, Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Correlation in corporate defaults: Contagion or conditional independence? (2010)Loss given default models incorporating macroeconomic variables for credit cards (2011)Intra- and extra-bank determinants of Latin American Banks' profitability (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)What Do We Know about Capital Structure? Some Evidence from International Data (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? (2010)Tiebreaker: Certification and Multiple Credit Ratings (2012)The Real Effects of Credit Ratings: The Sovereign Ceiling Channel (2016)The Measurement of Mobility (1978)A Markov Model for the Term Structure of Credit Risk Spreads (1997)An introduction to recent research on credit ratings (2004)Variations in sovereign credit quality assessments across rating agencies (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)On cox processes and credit risky securities (1998)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)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)Towards an Operational Framework for Financial Stability: 'Fuzzy' Measurement and Its Consequences (2009)How to Deal with Real Estate Booms: Lessons from Country Experiences (2011)The Procyclical Effects of Bank Capital Regulation (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Interpreting the macroeconomic time series facts (1992)Efficient Tests for an Autoregressive Unit Root (1996)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Determining the Number of Factors in Approximate Factor Models (2002)Inferential Theory for Factor Models of Large Dimensions (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)How rating agencies achieve rating stability (2004)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)
this work references cited by second hop

References

  • 1999Forecasting inflation1,273 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2006Procyclicality in Basel II: Can we treat the disease without killing the patient?406 cited
  • 2009Do Firms Target Credit Ratings or Leverage Levels?361 cited
  • 2011Modeling the effect of macroeconomic factors on corporate default and credit rating transitions194 cited
  • 2004Measurement, estimation and comparison of credit migration matrices182 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
  • 1994Measuring Changes in Corporate Credit Quality128 cited
  • 2002Assessing Credit Rating Agencies by Bond Issuers and Institutional Investors112 cited
  • 1992Rating Drift in High-Yield Bonds104 cited

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  • 2011Credit Risk Modeling using Excel and VBA103 cited
  • Cited by

    • 2017Financial Regulations, Financial Literacy, and Financial Inclusion: Insights from Kenya109 cited
    • 2017Predicting corporate investment/non-investment grade by using interval-valued fuzzy rule-based systems—A cross-region analysis27 cited