SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A simulation estimator for testing the time homogeneity of credit rating transitions
5 references·5 citing·34 second hop
A simulation estimator for testing the time homogeneity of credit rating transitions (2006)A simulation estimator for testing the ti…Measurement, estimation and comparison of credit migration matrices (2004)Measurement, estimation and c…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Credit Scoring and Its Applications (2002)Credit Scoring and Its Applic…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Measuring Changes in Corporate Credit Quality (1994)Measuring Changes in Corporat…Counting processes for retail default modeling (2015)Counting processes for retail…Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle (2014)Bank Credit Risk Management a…A coupled Markov chain approach to credit risk modeling (2011)A coupled Markov chain approa…A likelihood ratio test for stationarity of rating transitions (2009)A likelihood ratio test for s…Testing time-homogeneity of rating transitions after origination of debt (2008)Testing time-homogeneity of r…Stability of rating transitions (2000)How rating agencies achieve rating stability (2004)Comparing Predictive Accuracy (1994)Stochastic Processes for Insurance & Finance (1999)Comparing Predictive Accuracy (2002)The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast (2017)Optimization of Asset and Liability Management of Banks with Minimum Possible Changes (2023)Econometric duration analysis (1984)Basel Committee On Banking Supervision (2010)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)COVID-19 and credit risk: A long memory perspective (2022)The Measurement of Mobility (1978)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)An introduction to recent research on credit ratings (2004)Variations in sovereign credit quality assessments across rating agencies (2009)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)Frailty Correlated Default (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)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)Empirical Labor Economics: The Search Approach. (1992)Exploiting the errors: A simple approach for improved volatility forecasting (2015)Identification and estimation of non-Gaussian structural vector autoregressions (2016)Recent developments in consumer credit risk assessment (2007)'It's Reducing a Human Being to a Percentage' (2018)A new hybrid classification algorithm for customer churn prediction based on logistic regression and decision trees (2018)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)
this work references cited by second hop

References

  • 2002Credit Scoring and Its Applications669 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
  • 2004Measurement, estimation and comparison of credit migration matrices182 cited
  • 1994Measuring Changes in Corporate Credit Quality128 cited

Cited by

  • 2011A coupled Markov chain approach to credit risk modeling29 cited
  • 2014Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle24 cited
  • 2009A likelihood ratio test for stationarity of rating transitions23 cited
  • 2008Testing time-homogeneity of rating transitions after origination of debt19 cited
  • 2015Counting processes for retail default modeling15 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work