The Impact of Downward Rating Momentum
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Bibliographic InfoArticle provided by Springer in its journal Journal of Financial Services Research.
Volume (Year): 37 (2010)
Issue (Month): 1 (February)
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Web page: http://www.springerlink.com/link.asp?id=102934
Rating drift; Downward momentum; Credit portfolio risk; Value-at-Risk; Bond portfolio management; Calibration; C41; G24; G32;
Find related papers by JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- 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.
- 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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