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Citations for "Confidence sets for continuous-time rating transition probabilities"

by Christensen, Jens H.E. & Hansen, Ernst & Lando, David

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  1. Elena Kalotychou & Ana-Maria Fuertes, 2006. "On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics," Computing in Economics and Finance 2006, Society for Computational Economics 509, Society for Computational Economics.
  2. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 78-89.
  3. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005. "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE 0532, CIRPEE.
  4. Arnaud_de_Servigny & Norbert_Jobst, 2005. "An Empirical Analysis of Equity Default Swaps (I): Univariate Insights," International Finance, EconWPA 0503007, EconWPA.
  5. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2603-2639, November.
  6. repec:hal:journl:halshs-00658540 is not listed on IDEAS
  7. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE 1042, CIRPEE.
  8. Orth, Walter, 2011. "Default probability estimation in small samples: With an application to sovereign bonds," Discussion Papers in Statistics and Econometrics 5/11, University of Cologne, Department for Economic and Social Statistics.
  9. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer, Springer, vol. 37(1), pages 1-23, February.
  10. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, Elsevier, vol. 21(1), pages 87-105.
  11. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
  12. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2281-2301, August.
  13. Weißbach, Rafael & Walter, Ronja, 2010. "A likelihood ratio test for stationarity of rating transitions," Journal of Econometrics, Elsevier, Elsevier, vol. 155(2), pages 188-194, April.
  14. Henry Dannenberg, 2009. "Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen A," IWH Discussion Papers, Halle Institute for Economic Research 3, Halle Institute for Economic Research.
  15. Weißbach, Rafael & Mollenhauer, Thomas, 2011. "Modelling Rating Transitions," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48698, Verein für Socialpolitik / German Economic Association.
  16. Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart, 2009. "The credit rating process and estimation of transition probabilities: A Bayesian approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(2), pages 216-234, March.
  17. Kadam, Ashay & Lenk, Peter, 2008. "Bayesian inference for issuer heterogeneity in credit ratings migration," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(10), pages 2267-2274, October.
  18. Orth, Walter, 2011. "Default probability estimation in small samples - with an application to sovereign bonds," MPRA Paper 33778, University Library of Munich, Germany.
  19. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
  20. Henry Dannenberg, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers, Halle Institute for Economic Research 11, Halle Institute for Economic Research.
  21. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
  22. Behrens, Andrew & Pederson, Glenn D., 2005. "Credit Risk Migration Patterns of Agricultural Loans," Proceedings: 2005 Agricultural and Rural Finance Markets in Transition,October 3-4, 2005; Minneapolis, Minnesota, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transit 132739, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  23. Livingston, Miles & Naranjo, Andy & Zhou, Lei, 2008. "Split bond ratings and rating migration," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(8), pages 1613-1624, August.
  24. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
  25. 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.
  26. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle," International Advances in Economic Research, Springer, Springer, vol. 20(2), pages 151-166, May.
  27. Guttler, Andre & Wahrenburg, Mark, 2007. "The adjustment of credit ratings in advance of defaults," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(3), pages 751-767, March.
  28. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 1062-1075, June.
  29. Weißbach, Rafael & Walter, Ronja, 2008. "A likelihood ratio test for stationarity of rating transitions," Technical Reports 2008,27, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  30. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 42(3), pages 303-334, December.
  31. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 15(3), pages 395-417, July.
  32. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(4), pages 460-474.
  33. Güttler, André & Raupach, Peter, 2008. "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies 2008,16, Deutsche Bundesbank, Research Centre.