The Ordered Qualitative Model For Credit Rating Transitions
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- Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 111-130, January.
References listed on IDEAS
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More about this item
KeywordsCredit Rating; Migration; Migration Correlation; Credit Risk; Probit Model; Latent Factor; Business Cycle.;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DCM-2006-11-18 (Discrete Choice Models)
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