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The estimation of transition matrices for sovereign credit ratings

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Author Info
Hu, Yen-Ting
Kiesel, Rudiger
Perraudin, William
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1383-1406
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1383-1406

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  1. Pierre Richard Agénor, 2006. "External Shocks and the Urban Poor," The School of Economics Discussion Paper Series 0607, Economics, The University of Manchester. [Downloadable!]
  2. António Afonso & Pedro Gomes & Philipp Rother, 2006. "Ordered Response Models for Sovereign Debt Ratings," Working Papers 2006/34, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
    Other versions:
  3. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  4. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2006. "Homogeneous semi-Markov reliability models for credit risk management," Decisions in Economics and Finance, Springer, vol. 28(2), pages 79-93, 02. [Downloadable!] (restricted)
  5. Elena Kalotychou & Ana-Maria Fuertes, 2006. "On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics," Computing in Economics and Finance 2006 509, Society for Computational Economics. [Downloadable!]
    Other versions:
  6. P R Agénor, 2006. "Corruption Clubs: Endogenous Thresholds in Corruption and Development," Centre for Growth and Business Cycle Research Discussion Paper Series 68, Economics, The Univeristy of Manchester. [Downloadable!]
  7. António Afonso & Pedro Gomes & Philipp Rother, 2007. "What “hides” behind sovereign debt ratings?," Working Paper Series 711, European Central Bank. [Downloadable!]
    Other versions:
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