Directional mobility of debt ratings
Tài liệu tham khảo
Albanese, 2006, Implied migration rates from credit barrier models, Journal of Banking and Finance, 30, 607, 10.1016/j.jbankfin.2005.04.011
Altman, 1998, The importance and subtlety of credit rating migration, Journal of Banking and Finance, 22, 1231, 10.1016/S0378-4266(98)00066-1
Bangia, 2002, Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking and Finance, 26, 445, 10.1016/S0378-4266(01)00229-1
Cantor, 1996, Determinants and impact of sovereign credit ratings, Federal Reserve Bank of New York Economic Policy Review, 2, 37
Champernowne, 1953, A model of income distribution, Economic Journal, 63, 318, 10.2307/2227127
Devroye, 1986
Frydman, 2004, Estimation in the continuous time mover-stayer model with an application to bond ratings migration, Applied Stochastic Models in Business and Industry, 20, 155, 10.1002/asmb.531
Frydman, 2004
Fuertes, 2007, On sovereign credit migration: a study of alternative estimators and rating dynamics, Computational Statistics & Data Analysis, 51, 3448, 10.1016/j.csda.2006.07.003
Gang, 2004
Geweke, 2005
Geweke, 1986, Mobility indices in continuous time Markov chains, Econometrica, 54, 1407, 10.2307/1914306
Jafry, 2004, Metrics for comparing credit migration matrices, Journal of Banking and Finance, 28, 2603, 10.1016/j.jbankfin.2004.06.004
Jarrow, 1997, A Markov model for the term structure of credit risk spreads, Review of Financial Studies, 10, 481, 10.1093/rfs/10.2.481
Nickell, 2000, Stability of rating transitions, Journal of Banking & Finance, 24, 203, 10.1016/S0378-4266(99)00057-6
Prais, 1955, Measuring social mobility, Journal of the Royal Statistical Society, Series A (General), 118, 56, 10.2307/2342522
Shorrocks, 1976, Income mobility and the Markov assumption, Economic Journal, 86, 566, 10.2307/2230800
Shorrocks, 1978, The measurement of mobility, Econometrica, 46, 1013, 10.2307/1911433
Wei, 2003, A multi-factor, credit migration model for sovereign and corporate debts, Journal of International Money and Finance, 22, 709, 10.1016/S0261-5606(03)00052-4