An extended likelihood framework for modelling discretely observed credit rating transitions

Quantitative Finance ◽

10.1080/14697688.2018.1465196 ◽

2018 ◽

Vol 19 (1) ◽

pp. 93-104 ◽

Author(s):

M. Pfeuffer ◽

L. Möstel ◽

M. Fischer

Keyword(s):

Credit Rating ◽

Rating Transitions

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The Real Nature of Credit Rating Transitions

SSRN Electronic Journal ◽

10.2139/ssrn.968311 ◽

2008 ◽

Author(s):

Axel Eisenkopf

Keyword(s):

Credit Rating ◽

The Real ◽

Real Nature ◽

Rating Transitions

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A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transitions

SSRN Electronic Journal ◽

10.2139/ssrn.956623 ◽

2006 ◽

Author(s):

Nicholas M. Kiefer ◽

C. Erik Larson

Keyword(s):

Credit Rating ◽

Rating Transitions

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Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries

Computational Economics ◽

10.1007/s10614-016-9576-1 ◽

2016 ◽

Vol 49 (3) ◽

pp. 499-516 ◽

Author(s):

D. V. Boreiko ◽

Y. M. Kaniovski ◽

G. Ch. Pflug

Keyword(s):

Numerical Modeling ◽

Credit Rating ◽

Rating Transitions

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Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

International Review of Economics & Finance ◽

10.1016/j.iref.2011.05.004 ◽

2012 ◽

Vol 21 (1) ◽

pp. 87-105 ◽

Author(s):

Stephen Figlewski ◽

Halina Frydman ◽

Weijian Liang

Keyword(s):

Credit Rating ◽

Macroeconomic Factors ◽

Corporate Default ◽

Rating Transitions

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Random effects model for credit rating transitions

European Journal of Operational Research ◽

10.1016/j.ejor.2006.12.007 ◽

2008 ◽

Vol 184 (2) ◽

pp. 561-573 ◽

Author(s):

Yoonseong Kim ◽

So Young Sohn

Keyword(s):

Random Effects ◽

Credit Rating ◽

Random Effects Model ◽

Rating Transitions

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A Cyclical Model of Multiple-Horizon Credit Rating Transitions and Default

SSRN Electronic Journal ◽

10.2139/ssrn.1104805 ◽

2007 ◽

Author(s):

Albert D. Metz

Keyword(s):

Credit Rating ◽

Rating Transitions

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Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

Operations Research Proceedings - Operations Research Proceedings 2015 ◽

10.1007/978-3-319-42902-1_71 ◽

2017 ◽

pp. 525-531

Author(s):

Dmitri V. Boreiko ◽

Yuri M. Kaniovski ◽

Georg Ch. Pflug

Keyword(s):

Credit Rating ◽

Rating Transitions

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Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

Central European Journal of Operations Research ◽

10.1007/s10100-015-0415-6 ◽

2015 ◽

Vol 24 (4) ◽

pp. 989-1007 ◽

Author(s):

D. V. Boreiko ◽

Y. M. Kaniovski ◽

G. Ch. Pflug

Keyword(s):

Empirical Evidence ◽

Credit Rating ◽

Rating Transitions

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A simulation estimator for testing the time homogeneity of credit rating transitions

Journal of Empirical Finance ◽

10.1016/j.jempfin.2006.08.001 ◽

2007 ◽

Vol 14 (5) ◽

pp. 818-835 ◽

Author(s):

Nicholas M. Kiefer ◽

C. Erik Larson

Keyword(s):

Credit Rating ◽

Rating Transitions

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The Ordered Qualitative Model for Credit Rating Transitions

SSRN Electronic Journal ◽

10.2139/ssrn.757355 ◽

2003 ◽

Author(s):

Dingan Feng ◽

Christian Gourieroux ◽

Joann Jasiak

Keyword(s):

Credit Rating ◽

Qualitative Model ◽

Rating Transitions

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