References

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• 2000Stability of rating transitions562 cited
• 1994An exact likelihood analysis of the multinomial probit model545 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
• 2003The empirical relationship between average asset correlation, firm probability of default, and asset size190 cited
• 2004Measurement, estimation and comparison of credit migration matrices182 cited
• 2006Bayesian inference for generalized linear mixed models of portfolio credit risk180 cited
• 2002The estimation of transition matrices for sovereign credit ratings170 cited
• 2004Confidence sets for continuous-time rating transition probabilities136 cited
• 2007The multi-state latent factor intensity model for credit rating transitions134 cited
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• 2005Empirical credit cycles and capital buffer formation85 cited
• 2004An empirical comparison of default risk forecasts from alternative credit rating philosophies76 cited
• 2008