SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Confidence sets for continuous-time rating transition probabilities
8 references·16 citing·44 second hop
Confidence sets for continuous-time rating transition probabilities (2004)Confidence sets for continuous-time ratin…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework” (2001)Moody’s investors service res…Stability of rating transitions (2000)Stability of rating transitio…Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Tran…The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)The Declining Credit Quality …The Implications of Corporate Bond Ratings Drift (1992)The Implications of Corporate…The cooperative bank difference before and after the global financial crisis (2016)The cooperative bank differen…Managing risk in credit cooperative banks: Lessons from a case study (2015)Managing risk in credit coope…Credit Rating Migration Risk and Business Cycles (2012)Credit Rating Migration Risk …A reduced form model of default spreads with Markov-switching macroeconomic factors (2011)A reduced form model of defau…The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations (2010)The Performance of Credit Rat…Large portfolio losses: A dynamic contagion model (2009)Large portfolio losses: A dyn…The credit rating process and estimation of transition probabilities: A Bayesian approach (2008)The credit rating process and…Split bond ratings and rating migration (2008)Split bond ratings and rating…Bayesian inference for issuer heterogeneity in credit ratings migration (2008)Bayesian inference for issuer…The adjustment of credit ratings in advance of defaults (2006)The adjustment of credit rati…On sovereign credit migration: A study of alternative estimators and rating dynamics (2006)On sovereign credit migration…Fundamentals-Based Estimation of Default Probabilities - A Survey (2006)Fundamentals-Based Estimation…Dependent credit migrations (2006)Dependent credit migrationsAn inhomogeneous semi-Markov model for the term structure of credit risk spreads (2006)An inhomogeneous semi-Markov …Confidence intervals for probabilities of default (2005)Confidence intervals for prob…Differential Properties in the Ratings of Certified vs. Non-Certified Bond Rating Agencies (2004)Differential Properties in th…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)Common risk factors in the returns on stocks and bonds (1993)The multi-state latent factor intensity model for credit rating transitions (2007)Credit cycles and macro fundamentals (2008)Frailty Correlated Default (2008)Limited-dependent and qualitative variables in econometrics (1983)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)The Econometrics of Financial Markets (1997)Measuring Abnormal Bond Performance (2008)How did increased competition affect credit ratings? (2011)Corporate Social Responsibility and Credit Ratings (2013)A Markov Model for the Term Structure of Credit Risk Spreads (1997)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)Differences of opinion and selection bias in the credit rating industry (1997)Generally accepted rating principles: A primer (2001)An introduction to recent research on credit ratings (2004)The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms (2013)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)A comparative anatomy of credit risk models (2000)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)Downward Wage Rigidity for Different Workers and Firms: An Evaluation for Belgium Using the IWFP Procedure (2010)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2010)Risk, Uncertainty and Monetary Policy (2012)The Geography of Investment: Informed Trading and Asset Prices (2001)Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements (2004)Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields (2010)The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis (2014)The Home Bias in Sovereign Ratings (2017)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)How rating agencies achieve rating stability (2004)The importance and subtlety of credit rating migration (1998)Default rates in the syndicated bank loan market: A mortality analysis (2000)The Real Consequences of Market Segmentation (2011)
this work references cited by second hop

References

  • 1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2000Stability of rating transitions562 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
  • 2001Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework”166 cited
  • 1992The Implications of Corporate Bond Ratings Drift155 cited
  • 2000Estimating Credit Rating Transition Probabilities for Corporate Bonds137 cited

Cited by

  • 2006The adjustment of credit ratings in advance of defaults118 cited
  • 2010The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations104 cited
  • 2005Confidence intervals for probabilities of default102 cited
  • 2008Split bond ratings and rating migration79 cited
  • 2016The cooperative bank difference before and after the global financial crisis79 cited
  • 2008The credit rating process and estimation of transition probabilities: A Bayesian approach75 cited

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

  • 2009Large portfolio losses: A dynamic contagion model72 cited
  • 2006On sovereign credit migration: A study of alternative estimators and rating dynamics57 cited
  • 2004Differential Properties in the Ratings of Certified vs. Non-Certified Bond Rating Agencies57 cited
  • 2006Fundamentals-Based Estimation of Default Probabilities - A Survey55 cited
  • 2012Credit Rating Migration Risk and Business Cycles55 cited
  • 2015Managing risk in credit cooperative banks: Lessons from a case study51 cited
  • 2006An inhomogeneous semi-Markov model for the term structure of credit risk spreads49 cited
  • 2006Dependent credit migrations47 cited
  • 2008Bayesian inference for issuer heterogeneity in credit ratings migration43 cited
  • 2011A reduced form model of default spreads with Markov-switching macroeconomic factors40 cited