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The Impact of Downward Rating Momentum

  • Andre Güttler

    ()

  • Peter Raupach

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10693-009-0075-6
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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102934

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  1. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
  2. André Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo Group Munich.
  3. 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.
  4. 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.
  5. 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.
  6. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
  7. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
  8. Paul Kupiec, 2007. "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer, vol. 32(1), pages 103-122, October.
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