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

DOI10.1016/j.csda.2006.07.003zbMath1161.62450OpenAlexW2078840218MaRDI 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 chainduration dependencerating momentumrating transitionssovereign credit risktime heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Estimating discrete Markov models from various incomplete data schemes ⋮ Structural model of credit migration ⋮ Default probability estimation in small samples—with an application to sovereign bonds ⋮ Bank-sourced credit transition matrices: estimation and characteristics ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ Early warning systems for sovereign debt crises: The role of heterogeneity

Uses Software

• bootstrap

Cites Work

• 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
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