Confidence sets for continuous-time rating transition probabilities
- 1 November 2004
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 28 (11) , 2575-2602
- https://doi.org/10.1016/j.jbankfin.2004.06.003
Abstract
No abstract availableKeywords
This publication has 13 references indexed in Scilit:
- Ratings migration and the business cycle, with application to credit portfolio stress testingJournal of Banking & Finance, 2002
- Analyzing rating transitions and rating drift with continuous observationsJournal of Banking & Finance, 2002
- Risk and Valuation of Collateralized Debt ObligationsCFA Magazine, 2001
- Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework”Journal of Banking & Finance, 2000
- Estimating Credit Rating Transition Probabilities for Corporate BondsSSRN Electronic Journal, 2000
- The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?The Journal of Finance, 1998
- The Implications of Corporate Bond Ratings DriftCFA Magazine, 1992
- Rating Drift in High-Yield BondsThe Journal of Fixed Income, 1992
- The Jackknife, the Bootstrap and Other Resampling PlansPublished by Society for Industrial & Applied Mathematics (SIAM) ,1982
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov ChainsThe Annals of Mathematical Statistics, 1970