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The Impact of Downward Rating Momentum

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Author Info

  • Andre Güttler

    ()

  • Peter Raupach

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10693-009-0075-6
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 37 (2010)
Issue (Month): 1 (February)
Pages: 1-23

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Handle: RePEc:kap:jfsres:v:37:y:2010:i:1:p:1-23

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Rating drift; Downward momentum; Credit portfolio risk; Value-at-Risk; Bond portfolio management; Calibration; C41; G24; G32;

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References

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  1. Prof. Dr. Walter Krämer & Andre Güttler, . "On comparing the accuracy of default predictions in the rating industry," Working Papers 2, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
  2. Krüger, Ulrich & Stötzel, Martin & Trück, Stefan, 2005. "Time series properties of a rating system based on financial ratios," Discussion Paper Series 2: Banking and Financial Studies 2005,14, Deutsche Bundesbank, Research Centre.
  3. Paul Kupiec, 2007. "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer, vol. 32(1), pages 103-122, October.
  4. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
  5. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
  6. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  8. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.
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Citations

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Cited by:
  1. Alexander B. Matthies, 2013. "Empirical Research on Corporate Credit-Ratings: A Literature Review," SFB 649 Discussion Papers SFB649DP2013-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Orth, Walter, 2010. "The predictive accuracy of credit ratings: Measurement and statistical inference," MPRA Paper 30148, University Library of Munich, Germany, revised 16 Feb 2011.

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