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The estimation of transition matrices for sovereign credit ratings

Citations

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Cited by:

  1. Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020. "Ratings matter: Announcements in times of crisis and the dynamics of stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  2. Pierre‐Richard Agénor, 2011. "External Shocks And The Urban Poor," Metroeconomica, Wiley Blackwell, vol. 62(4), pages 656-690, November.
  3. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, March.
  4. Antonio Afonso & Pedro Gomes & Philipp Rother, 2009. "Ordered response models for sovereign debt ratings," Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 769-773.
  5. Hantzsche, Arno, 2022. "Fiscal uncertainty and sovereign credit risk," European Economic Review, Elsevier, vol. 148(C).
  6. Reusens, Peter & Croux, Christophe, 2017. "Sovereign credit rating determinants: A comparison before and after the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 108-121.
  7. Biase di Giuseppe & Guglielmo D'Amico & Jacques Janssen & Raimondo Manca, 2014. "A Duration Dependent Rating Migration Model: Real Data Application and Cost of Capital Estimation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(3), pages 233-245, June.
  8. T H Moon & Y Kim & S Y Sohn, 2011. "Technology credit rating system for funding SMEs," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(4), pages 608-615, April.
  9. Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
  10. Rasha Alsakka & Owain ap Gwilym, 2010. "Sovereign Ratings and Migrations: Emerging Markets," Working Papers 10009, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  11. Nima Mirzaei & Béla Vizvári, 2015. "A New Approach to Reconstruction of Moody’s Rating System for Countries Investment Risk Rating," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 4(3), pages 167-182.
  12. João T. Jalles, 2022. "Do credit rating agencies reward fiscal prudence?," International Finance, Wiley Blackwell, vol. 25(1), pages 2-22, April.
  13. Erdem Basci & M. Fatih Ekinci & Murat Yulek, 2007. "On Fixed and Variable Fiscal Surplus Rules," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(3), pages 5-15, June.
  14. El-Shagi, Makram & von Schweinitz, Gregor, 2017. "Why they keep missing: An empirical investigation of rational inattention of rating agencies," IWH Discussion Papers 1/2017, Halle Institute for Economic Research (IWH), revised 2017.
  15. Broto, Carmen & Molina, Luis, 2016. "Sovereign ratings and their asymmetric response to fundamentals," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
  16. Puneet Pasricha & Dharmaraja Selvamuthu & Guglielmo D’Amico & Raimondo Manca, 2020. "Portfolio optimization of credit risky bonds: a semi-Markov process approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-14, December.
  17. Al-Sakka, Rasha & ap Gwilym, Owain, 2009. "Heterogeneity of sovereign rating migrations in emerging countries," Emerging Markets Review, Elsevier, vol. 10(2), pages 151-165, June.
  18. Manfred Gärtner & Björn Griesbach & Florian Jung, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 288-299, August.
  19. Forster, Jonathan J. & Buzzacchi, Matteo & Sudjianto, Agus & Nagao, Risa, 2016. "Modelling credit grade migration in large portfolios using cumulative t-link transition models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 977-984.
  20. Luis Catão & Sandeep Kapur, 2006. "Volatility and the Debt-Intolerance Paradox," IMF Staff Papers, Palgrave Macmillan, vol. 53(2), pages 1-1.
  21. António Afonso & Pedro Gomes & Philipp Rother, 2006. "What “Hides” Behind Sovereign Debt Ratings?," Working Papers Department of Economics 2006/35, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  22. Slapnik, Ursula & Lončarski, Igor, 2021. "On the information content of sovereign credit rating reports: Improving the predictability of rating transitions☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  23. Guglielmo D'Amico & Filippo Petroni & Philippe Regnault & Stefania Scocchera & Loriano Storchi, 2019. "A copula based Markov Reward approach to the credit spread in European Union," Papers 1902.00691, arXiv.org.
  24. Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
  25. Burhan Kabadayi & Ahmet Alkan elik, 2015. "Determinants of Sovereign Ratings in Emerging Countries: A Qualitative, Dependent Variable Panel Data Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 656-662.
  26. Slapnik, Ursula & Lončarski, Igor, 2023. "Understanding sovereign credit ratings: Text-based evidence from the credit rating reports," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  27. Metodij Hadzi-Vaskov & Mr. Luca A Ricci, 2019. "The Nonlinear Relationship Between Public Debt and Sovereign Credit Ratings," IMF Working Papers 2019/162, International Monetary Fund.
  28. Hill, Paula & Brooks, Robert & Faff, Robert, 2010. "Erratum to "Variations in sovereign credit quality assessments across rating agencies" [J. Bank. Finance 34 (2010) 1327-1343]," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2306-2306, September.
  29. Alicia García-Herrero & Sergio Gavilá, 2006. "Posible impacto de Basilea II en los países emergentes," Boletín, CEMLA, vol. 0(3), pages 103-124, Julio-sep.
  30. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
  31. P. Hammer & A. Kogan & M. Lejeune, 2011. "Reverse-engineering country risk ratings: a combinatorial non-recursive model," Annals of Operations Research, Springer, vol. 188(1), pages 185-213, August.
  32. De Moor, Lieven & Luitel, Prabesh & Sercu, Piet & Vanpée, Rosanne, 2018. "Subjectivity in sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 366-392.
  33. Fuertes, Ana-Maria & Kalotychou, Elena, 2007. "On sovereign credit migration: A study of alternative estimators and rating dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3448-3469, April.
  34. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2021. "On the duration of sovereign ratings cycle phases," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 512-526.
  35. Sy, Amadou N.R., 2004. "Rating the rating agencies: Anticipating currency crises or debt crises?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2845-2867, November.
  36. Markellos, Raphael N. & Psychoyios, Dimitris & Schneider, Friedrich, 2016. "Sovereign debt markets in light of the shadow economy," European Journal of Operational Research, Elsevier, vol. 252(1), pages 220-231.
  37. Luca Agnello & Vitor Castro & Ricardo Sousa, 2019. "The Benevolence of Time, Sound Macroeconomic Environment and Governance Quality on the Duration of Sovereign Ratings Phases," Working Papers 34, European Stability Mechanism.
  38. Ke Chen & Cheng Cheng & Shenggang Yang, 2011. "Are China’s sovereign credit ratings underestimated?," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 14(4), pages 313-320, December.
  39. Dang, Huong & Partington, Graham, 2020. "Sovereign ratings and national culture," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  40. Makram El‐Shagi & Gregor von Schweinitz, 2022. "Why they keep missing: An empirical investigation of sovereign bond ratings and their timing," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(2), pages 186-224, May.
  41. Antonio Afonso & Joao Tovar Jalles, 2019. "Sovereign Ratings and Finance Ministers' Characteristics," Economics Bulletin, AccessEcon, vol. 39(4), pages 2999-3010.
  42. Purificación Parrado-Martínez & Antonio Partal-Ureña & Pilar Gómez Fernández-Aguado, 2016. "Banking Soundness Indicators and Sovereign Risk in Time of Crisis: The Case of the European Union," The World Economy, Wiley Blackwell, vol. 39(8), pages 1172-1193, August.
  43. Stefan Truck, 2008. "Forecasting credit migration matrices with business cycle effects—a model comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 359-379.
  44. Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007. "The impact of macroeconomic announcements on emerging market bonds," Emerging Markets Review, Elsevier, vol. 8(1), pages 20-37, March.
  45. Tamás Kristóf, 2021. "Sovereign Default Forecasting in the Era of the COVID-19 Crisis," JRFM, MDPI, vol. 14(10), pages 1-24, October.
  46. Purificacion Parrado-Martinez & Antonio Parta Ureña & Pilar Gomez Fernandez-Aguado, 2014. "Usefulness of Financial Soundness Indicators for risk assessment: The case of EU member countries," Working Papers 14.01, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  47. Viktor Lapshin & Markov Anton, 2022. "MCMC-based credit rating aggregation algorithm to tackle data insufficiency," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 50-72.
  48. Dilek Teker & Aynur Pala & Oya Kent, 2013. "Determination of Sovereign Rating: Factor Based Ordered Probit Models for Panel Data Analysis Modelling Framework," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 122-132.
  49. repec:kap:iaecre:v:17:y:2011:i:3:p:288-299 is not listed on IDEAS
  50. Huong Dang, 2014. "How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics," ZenTra Working Papers in Transnational Studies 42 / 2014, ZenTra - Center for Transnational Studies.
  51. Aktug, R. Erdem & Nayar, Nandkumar (Nandu) & Vasconcellos, Geraldo M., 2013. "Is sovereign risk related to the banking sector?," Global Finance Journal, Elsevier, vol. 24(3), pages 222-249.
  52. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  53. Afonso, António & Tovar Jalles, João & Venâncio, Ana, 2022. "Do financial markets reward government spending efficiency?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  54. Al-Sakka, Rasha & ap Gwilym, Owain, 2010. "Split sovereign ratings and rating migrations in emerging economies," Emerging Markets Review, Elsevier, vol. 11(2), pages 79-97, June.
  55. Mr. Amadou N Sy & Mr. Andrea Pescatori, 2004. "Debt Crises and the Development of International Capital Markets," IMF Working Papers 2004/044, International Monetary Fund.
  56. Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.
  57. Rasha Alsakka & Owain ap Gwilym, 2010. "The Extent and Causes of Sovereign Split Ratings," Working Papers 10008, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  58. Andrew Powell, 2004. "Implications of Basel II for Latin America," Business School Working Papers basel, Universidad Torcuato Di Tella.
  59. Choy, Swee Yew & Chit, Myint Moe & Teo, Wing Leong, 2021. "Sovereign credit ratings: Discovering unorthodox factors and variables," Global Finance Journal, Elsevier, vol. 48(C).
  60. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2006. "Homogeneous semi-Markov reliability models for credit risk management," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(2), pages 79-93, February.
  61. Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2021. "Am I riskier if I rescue my banks? Beyond the effects of bailouts," Journal of Financial Stability, Elsevier, vol. 56(C).
  62. P R Agénor, 2006. "Corruption Clubs: Endogenous Thresholds in Corruption and Development," Centre for Growth and Business Cycle Research Discussion Paper Series 68, Economics, The University of Manchester.
  63. Salvador, Carlos & Pastor, Jose Manuel & Fernández de Guevara, Juan, 2014. "Impact of the subprime crisis on bank ratings: The effect of the hardening of rating policies and worsening of solvency," Journal of Financial Stability, Elsevier, vol. 11(C), pages 13-31.
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