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Testing time-homogeneity of rating transitions after origination of debt

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  • Rafael Weißbach
  • Patrick Tschiersch
  • Claudia Lawrenz

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Suggested Citation

  • Rafael Weißbach & Patrick Tschiersch & Claudia Lawrenz, 2009. "Testing time-homogeneity of rating transitions after origination of debt," Empirical Economics, Springer, vol. 36(3), pages 575-596, June.
    • Handle: RePEc:spr:empeco:v:36:y:2009:i:3:p:575-596
    DOI: 10.1007/s00181-008-0212-3
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    References listed on IDEAS

    as
    1. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    2. 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.
    3. Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March.
    4. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Weißbach, Rafael & Walter, Ronja, 2010. "A likelihood ratio test for stationarity of rating transitions," Journal of Econometrics, Elsevier, vol. 155(2), pages 188-194, April.
    2. Weißbach, Rafael & Mollenhauer, Thomas, 2011. "Modelling Rating Transitions," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48698, Verein für Socialpolitik / German Economic Association.
    3. Rafael Weißbach & Dominik Wied, 2022. "Truncating the exponential with a uniform distribution," Statistical Papers, Springer, vol. 63(4), pages 1247-1270, August.
    4. Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers, 2014. "Are credit ratings time-homogeneous and Markov?," Papers 1403.8018, arXiv.org, revised Oct 2014.
    5. Rafael Weißbach & Wladislaw Poniatowski & Walter Krämer, 2013. "Nearest neighbor hazard estimation with left-truncated duration data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(1), pages 33-47, January.
    6. 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.
    7. Weißbach, Rafael & Strohecker, Fynn, 2016. "Modeling rating transitions with instantaneous default," Economics Letters, Elsevier, vol. 145(C), pages 38-40.
    8. Rafael Weißbach & Carsten Lieres und Wilkau, 2010. "Economic capital for nonperforming loans," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(1), pages 67-85, March.

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    More about this item

    Keywords

    Portfolio credit risk; Rating transitions; Markov model; Time-homogeneity; Likelihood ratio; C51; G11; G18; G33;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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