IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v4y2007i4p217-226.html
   My bibliography  Save this article

Time series patterns in credit ratings

Author

Listed:
  • Parnes, Dror

Abstract

No abstract is available for this item.

Suggested Citation

  • Parnes, Dror, 2007. "Time series patterns in credit ratings," Finance Research Letters, Elsevier, vol. 4(4), pages 217-226, December.
    • Handle: RePEc:eee:finlet:v:4:y:2007:i:4:p:217-226
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544-6123(07)00043-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..
    3. Connolly, Robert & Stivers, Chris & Sun, Licheng, 2005. "Stock Market Uncertainty and the Stock-Bond Return Relation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 161-194, March.
    4. 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.
    5. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
    6. Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei, 2001. "Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 245-265, April.
    7. Charles J. Corrado & Thomas W. Miller, 2006. "Estimating Expected Excess Returns Using Historical And Option‐Implied Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(1), pages 95-112, March.
    8. Pierre Collin-Dufresn & Robert S. Goldstein & J. Spencer Martin, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.
    2. Haga, Jesper, 2015. "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, vol. 15(C), pages 59-67.
    3. Alsakka, Rasha & ap Gwilym, Owain, 2010. "A random effects ordered probit model for rating migrations," Finance Research Letters, Elsevier, vol. 7(3), pages 140-147, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dror Parnes, 2011. "Developments in corporate creditworthiness around ownership events," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 377-396, September.
    2. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance.
    3. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
    4. 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.
    5. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
    6. Camilla Ferretti & Giampaolo Gabbi & Piero Ganugi & Federica Sist & Pietro Vozzella, 2019. "Credit Risk Migration and Economic Cycles," Risks, MDPI, vol. 7(4), pages 1-18, October.
    7. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    8. 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.
    9. Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.
    10. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
    11. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
    12. 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.
    13. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
    14. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    15. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    16. Tsaig, Yaakov & Levy, Amnon & Wang, Yashan, 2011. "Analyzing the impact of credit migration in a portfolio setting," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3145-3157.
    17. Kadam, Ashay & Lenk, Peter, 2008. "Bayesian inference for issuer heterogeneity in credit ratings migration," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2267-2274, October.
    18. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
    19. Nusrat Jahan, 2022. "Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada," Carleton Economic Papers 22-07, Carleton University, Department of Economics.
    20. Michael C. Munnix & Rudi Schafer & Thomas Guhr, 2011. "A Random Matrix Approach to Credit Risk," Papers 1102.3900, arXiv.org, revised Jun 2011.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:4:y:2007:i:4:p:217-226. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.