A point-in-time perspective on through-the-cycle ratings

Financial Analysts Journal

Volumn 62, Issue 1, 2006, Pages 54-70

  Altman, Edward I ^a   Rijken, Herbert A ^b  

^a NEW YORK UNIVERSITY   (United States)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645673918     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v62.n1.4058     Document Type: Article

References (19)

1. Altman, E.I. 1968. "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy." Journal of Finance, vol. 23, no. 4 (September):589-609.
2. Altman, E.I., and D.L. Kao. 1992. "The Implications of Corporate Bond Ratings Drift." Financial Analysts Journal, vol. 48, no. 3 (May/June):64-75.
3. Altman, E.I., and H.A. Rijken. 2004. "How Rating Agencies Achieve Rating Stability." Journal of Banking & Finance, vol. 28, no. 11 (November):2679-2714.
4. Baker, H.K., and S.A. Mansi. 2002. "Assessing Credit Agencies by Bond Issuers and Institutional Investors." Journal of Business Finance & Accounting, vol. 29, nos. 9-10 (November/December):1367-98.
5. Basel Committee on Banking Supervision. 2000. "Range of Practice in Banks' Internal Rating Systems." Discussion article.
6. Cantor, R. 2001. "Moody's Investors Service Response to the Consultative Article Issued by the Basel Committee on Bank Supervision: 'A New Capital Adequacy Framework'." Journal of Banking & Finance, vol. 25, no. 1 (January):171-185.
7. Cantor, R., and C. Mann. 2003. "Are Corporate Bond Ratings Procyclical?" Special Comment, Moody's Investors Service (October).
8. Das, S.R., R. Fan, and G. Geng. 2002. "Bayesian Migration in Credit Ratings Based on Probabilities of Default." Journal of Fixed Income, vol. 12, no. 3 (December):17-23.
9. Ellis, D. 1998. "Different Sides of the Same Story: Investors' and Issuers' Views of Rating Agencies." Journal of Fixed Income, vol. 7, no. 4 (March):35-45.
10. Föns, J.S., and J. Viswanathan. 2004. "A User's Guide to Moody's Default Predictor Model: An Accounting Ration Approach." Special Comment, Moody's Investors Service (December).
11. Fons, J.S., R. Cantor, and C. Mahoney. 2002. "Understanding Moody's Corporate Bond Ratings and Rating Process." Special Comment, Moody's Investors Service (May).
12. Hamilton, D., and R. Cantor. 2004. "Rating Transition and Default Rates Conditioned on Outlooks." Journal of Fixed Income, vol. 14, no. 2 (September):54-70.
13. Kealhofer, S., S. Kwok, and S. Weng. 1998. "Uses and Abuses of Default Rates." CreditMetrics Monitor (1st Quarter):37-55.
14. Lando, D., and T.M. Skødeberg. 2002. "Analyzing Rating Transitions and Rating Drift with Continuous Observations." Journal of Banking & Finance, vol. 26, nos. 2-3 (March):423-444.
15. Löffler, G. 2004. "An Anatomy of Rating Through-the-Cycle. " Journal of Banking & Finance, vol. 28, no. 3 (March):695-720.
16. "Moody's Mulls Changes to Its Ratings Process." 2002. Financial Times, Companies & Finance Section (19 January):15.
17. Rogers, W.H. 1993. "Regression Standard Errors in Clustered Samples." State Technical Bulletin 13:19-23.
18. Standard & Poor's Corporation. 2003. "Corporate Ratings Criteria." Standard & Poor's Corporation: www.standardandpoors.com.
19. Treacy, W.F., and M. Carey. 2000. "Credit Rating Systems at Large US Banks." Journal of Banking & Finance, vol. 24, nos. 1-2 (January):167-201.