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Confidence sets for continuous-time rating transition probabilities · Study

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ArticleConfidence sets for continuous-time rating transition probabilities

Jens H. E. Christensen2004

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Articlegreen2004

Confidence sets for continuous-time rating transition probabilities

Jens H. E. Christensen · David Lando

136 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?2001Risk and Valuation of Collateralized Debt Obligations 2000Stability of rating transitions 2002Ratings migration and the business cycle, with application to credit portfolio stress testing 2002Analyzing rating transitions and rating drift with continuous observations 2001Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework”1992The Implications of Corporate Bond Ratings Drift 2000Estimating Credit Rating Transition Probabilities for Corporate Bonds

Cited by

2006The adjustment of credit ratings in advance of defaults 2010The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations 2005Confidence intervals for probabilities of default 2008Split bond ratings and rating migration 2016The cooperative bank difference before and after the global financial crisis

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Year2004

Typearticle

Published2004-08-17

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations136

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2004.06.003

openalex_workW3125713423

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2008

The credit rating process and estimation of transition probabilities: A Bayesian approach

2009Large portfolio losses: A dynamic contagion model

2006On sovereign credit migration: A study of alternative estimators and rating dynamics