On sovereign credit migration: a study of alternative estimators and rating dynamics
From MaRDI portal
Publication:1019978
DOI10.1016/j.csda.2006.07.003zbMath1161.62450MaRDI QIDQ1019978
Elena Kalotychou, Ana-María Fuertes
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://repec.org/sce2006/up.25487.1141742207.pdf
Markov chain; duration dependence; rating momentum; rating transitions; sovereign credit risk; time heterogeneity
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
A Copula-based Markov Reward Approach to the Credit Spread in the European Union, Default probability estimation in small samples—with an application to sovereign bonds, Early warning systems for sovereign debt crises: The role of heterogeneity, Estimating discrete Markov models from various incomplete data schemes, Structural model of credit migration, Bank-sourced credit transition matrices: estimation and characteristics
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Hidden hybrid Markov/semi-Markov chains
- Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
- The multi-state latent factor intensity model for credit rating transitions
- Mobility Indices in Continuous Time Markov Chains
- The Measurement of Mobility