Analyzing rating transitions and rating drift with continuous observations

Journal of Banking and Finance

Volumn 26, Issue 2-3, 2002, Pages 423-444

  Lando, David ^a   Skødeberg, Torben M ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b Nordea Investment Management ^*  (Denmark)

Author keywords

Estimation; Markov chains; Rating drift; Rating transitions

Indexed keywords

EID: 0036153072     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00228-X     Document Type: Article

References (20)

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15. On Cox processes and credit risky securities
16. Changes in corporate credit quality 1970-1990
17. Corporate bond defaults and default rates 1970-1993
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19. Forecasting bankruptcy more accurately: A simple hazard model
20. Statistical analysis of rating transitions - A survival analytic approach