On sovereign credit migration: A study of alternative estimators and rating dynamics

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3448-3469

  Fuertes, Ana Maria ^a   Kalotychou, Elena ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Duration dependence; Markov chain; Rating momentum; Rating transitions; Sovereign credit risk; Time heterogeneity

Indexed keywords

COMPUTER SIMULATION; COST ACCOUNTING; MARKOV PROCESSES; MATHEMATICAL MODELS; MATRIX ALGEBRA; PROBABILITY; SPECTRUM ANALYSIS;

DURATION DEPENDENCE; RATING MOMENTUM; RATING TRANSITIONS; SOVEREIGN CREDIT RISKS; TIME HETEROGENEITY;

ECONOMICS;

EID: 33847373398     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.003     Document Type: Article

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