Time to default and other sensitivities of credit ratings

DOI10.1080/14697680902946506zbMATH Open1232.91693OpenAlexW2076454881MaRDI QIDQ2994836FDOQ2994836

Authors: Dror Parnes 

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902946506

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• A simple Markov chain structure for the evolution of credit ratings
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Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• A general formula for the sensitivity of population growth rate to changes in life history parameters
• Derivatives of the spectral radius as a function of non-negative matrix elements
• Ergodic theorems in demography

Cited In (12)

• The informational content of credit ratings, and cyclical patterns of default rates
• Rating Migrations
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• On assessing the relative performance of default predictions
• Markov chain model with catastrophe to determine mean time to default of credit risky assets
• On sovereign credit migration: a study of alternative estimators and rating dynamics
• Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
• A score-test on measurement errors in rating transition times
• Modeling rating transitions with instantaneous default
• Dependent defaults and credit migrations
• Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
• PD-implied ratings via referencing a credit rating/scoring Pool's default experience

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