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A multi-factor, credit migration model for sovereign and corporate debts

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  • Wei, Jason Z.
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-4967FTG-2/2/93765b294c3c06c3acac5fa865e3ddcd
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 22 (2003)
    Issue (Month): 5 (October)
    Pages: 709-735

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    Handle: RePEc:eee:jimfin:v:22:y:2003:i:5:p:709-735

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    Web page: http://www.elsevier.com/locate/inca/30443

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    References

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    1. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
    2. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
    3. Tomasz R. Bielecki & Marek Rutkowski, 2000. "Multiple Ratings Model of Defaultable Term Structure," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 125-139.
    4. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    5. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
    6. Amadou N. R. Sy, 2001. "Emerging Market Bond Spreads and Sovereign Credit Ratings," IMF Working Papers 01/165, International Monetary Fund.
    7. Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
    8. Jose A. Lopez & Marc R. Saidenberg, 1999. "Evaluating credit risk models," Working Papers in Applied Economic Theory 99-06, Federal Reserve Bank of San Francisco.
    9. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    10. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
    11. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    12. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
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    Cited by:
    1. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
    2. Myles Brennan & Adam Kobor & Vidhya Rustaman, 2011. "Diversifying market and default risk in high grade sovereign bond portfolios," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 49-74 Bank for International Settlements.
    3. 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.
    4. Sumon Bhaumik & John S. Landon-Lane, 2007. "Directional Mobility of Ratings," William Davidson Institute Working Papers Series wp900, William Davidson Institute at the University of Michigan.
    5. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(1), pages 122-143, March.

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