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Measurement, estimation and comparison of credit migration matrices

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Author Info
Jafry, Yusuf
Schuermann, Til

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 11 (November)
Pages: 2603-2639
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:11:p:2603-2639

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  1. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  2. 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:
  3. Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2007. "Assessing the Impact of Credit Ratings and Economic Performance on Firm Default," LEM Papers Series 2007/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  4. Andre Monteiro & Georgi V. Smirnov & Andre Lucas, 2006. "Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk," Tinbergen Institute Discussion Papers 06-024/2, Tinbergen Institute, revised 27 Mar 2006. [Downloadable!]
  5. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
  6. Katja Pluto & Dirk Tasche, 2004. "Estimating Probabilities of Default for Low Default Portfolios," Quantitative Finance Papers cond-mat/0411699, arXiv.org, revised Apr 2005. [Downloadable!]
  7. Kiefer, Nicholas M. & Larson, C. Erik, 2006. "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers 06-10, Cornell University, Center for Analytic Economics. [Downloadable!]
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