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The importance and subtlety of credit rating migration

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  1. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2011. "Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 465-481, November.
  2. Dmitri Boreiko & Serguei Kaniovski & Yuri Kaniovski & Georg Pflug, 2017. "Traces of business cycles in credit-rating migrations," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-29, April.
  3. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2006. "Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1899-1926, July.
  4. 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.
  5. Wozabal, David & Hochreiter, Ronald, 2012. "A coupled Markov chain approach to credit risk modeling," Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 403-415.
  6. Martin Feinberg & Roger Shelor & James Jiang, 2004. "The Effect of Solicitation and Independence on Corporate Bond Ratings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1327-1353, November.
  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. Aktas, Nihat & Petmezas, Dimitris & Servaes, Henri & Karampatsas, Nikolaos, 2021. "Credit ratings and acquisitions," Journal of Corporate Finance, Elsevier, vol. 69(C).
  9. Valerio Vacca, 2017. "An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(2), pages 171-206, July.
  10. Sumon Bhaumik & John S. Landon-Lane, 2007. "Directional Mobility of Ratings," William Davidson Institute Working Papers Series wp900, William Davidson Institute at the University of Michigan.
  11. Myriam Ben Ayed & Adel Karaa & Jean‐Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1870-1886, July.
  12. Sueyoshi, Toshiyuki & Goto, Mika, 2009. "Can R&D expenditure avoid corporate bankruptcy? Comparison between Japanese machinery and electric equipment industries using DEA-discriminant analysis," European Journal of Operational Research, Elsevier, vol. 196(1), pages 289-311, July.
  13. D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
  14. Huong Dieu Dang, 2018. "National Culture and Corporate Rating Migrations," Risks, MDPI, vol. 6(4), pages 1-27, November.
  15. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  16. Sun, Yue & Chai, Nana & Dong, Yizhe & Shi, Baofeng, 2022. "Assessing and predicting small industrial enterprises’ credit ratings: A fuzzy decision-making approach," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1158-1172.
  17. Dmitri Boreiko & Serguei Kaniovski & Yuri Kaniovski & Georg Ch. Pflug, 2018. "Business Cycles and Conditional Credit-Rating Migration Matrices," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-19, December.
  18. 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.
  19. 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.
  20. Simon Krotter & Andreas Schüler, 2013. "Empirische Ermittlung von Eigen-, Fremd- und Gesamtkapitalkosten: eine Untersuchung deutscher börsennotierter Aktiengesellschaften," Schmalenbach Journal of Business Research, Springer, vol. 65(5), pages 390-433, September.
  21. Attig, Najah & Driss, Hamdi & El Ghoul, Sadok, 2020. "Rating standards around the world: A puzzle?," Emerging Markets Review, Elsevier, vol. 45(C).
  22. Michael C. Munnix & Rudi Schafer & Thomas Guhr, 2011. "A Random Matrix Approach to Credit Risk," Papers 1102.3900, arXiv.org, revised Jun 2011.
  23. Kim, Yoonseong & Sohn, So Young, 2008. "Random effects model for credit rating transitions," European Journal of Operational Research, Elsevier, vol. 184(2), pages 561-573, January.
  24. Johannes Hörner & Nicolas S Lambert, 2021. "Motivational Ratings [Toward the Next Generation of Recommender Systems: A Survey of the State-of-the-Art and Possible Extensions]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1892-1935.
  25. Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
  26. Dang, Huong & Partington, Graham, 2020. "Sovereign ratings and national culture," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  27. Huong Dang & Graham Partington, 2014. "Rating Migrations: The Effect of History and Time," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 174-202, June.
  28. Pérez-Martín, A. & Pérez-Torregrosa, A. & Vaca, M., 2018. "Big Data techniques to measure credit banking risk in home equity loans," Journal of Business Research, Elsevier, vol. 89(C), pages 448-454.
  29. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
  30. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
  31. 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.
  32. Camilla Ferretti & Giampaolo Gabbi & Piero Ganugi & Pietro Vozzella, 2016. "Rating Trajectories and Credit Risk Migration: Evidence for SMEs," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali dises1615, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  33. Korolkiewicz, Malgorzata W. & Elliott, Robert J., 2008. "A hidden Markov model of credit quality," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3807-3819, December.
  34. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
  35. Cao, June & Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2024. "Asymmetric reactions of abnormal audit fees jump to credit rating changes," The British Accounting Review, Elsevier, vol. 56(2).
  36. 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.
  37. Jeffrey R. Stokes, 2023. "A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 855-878, October.
  38. 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.
  39. Dang, Huong Dieu, 2023. "Retrospective wisdom: Long-term orientation and the rating downgrades of financial institutions," Global Finance Journal, Elsevier, vol. 57(C).
  40. 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.
  41. Rusiana, Hofner D. & Escalante, Cesar L. & Brewer, Brady E. & Dodson, Charles B., 2018. "Macroeconomic and Farm-Level Drivers of Profitability among Smaller and Beginning Farm Businesses," 2018 Annual Meeting, August 5-7, Washington, D.C. 273782, Agricultural and Applied Economics Association.
  42. Ding, Xin & Ren, Yajing & Tan, Wenhao & Wu, Haomin, 2023. "Does carbon emission of firms matter for Bank loans decision? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 86(C).
  43. Michael Kalkbrener & Natalie Packham, 2024. "A Markov approach to credit rating migration conditional on economic states," Papers 2403.14868, arXiv.org.
  44. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
  45. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
  46. Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
  47. Peluso, Stefano & Mira, Antonietta & Muliere, Pietro, 2015. "Reinforced urn processes for credit risk models," Journal of Econometrics, Elsevier, vol. 184(1), pages 1-12.
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