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

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

zbMATH Keywords

Markov chain; duration dependence; rating momentum; rating transitions; sovereign credit risk; time heterogeneity

Mathematics Subject Classification ID

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

• bootstrap

Cites Work

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• 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