The estimation of transition matrices for sovereign credit ratings

Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1383-1406

  Hu, Yen Ting ^a   Kiesel, Rudiger ^b   Perraudin, William ^a,c,d  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c BANK OF ENGLAND   (United Kingdom)

^d CEPR   (United Kingdom)

Author keywords

Credit rating; Credit risk; Ordered probit; Sovereign default

Indexed keywords

EID: 0036071849     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00268-6     Document Type: Article

References (20)

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19. Stability of rating transitions