Journal of Banking & Finance Vol. 26 No. 2-3 2002
Analyzing rating transitions and rating drift with continuous observations
Abstract
We consider the estimation of credit rating transitions based on continuous-time observations. Through simple examples and using a large data set from Standard and Poor's, we illustrate the difference between estimators based on discrete-time cohort methods and estimators based on continuous observations. We apply semi-parametric regression techniques to test for two types of non-Markov effects in rating transitions: Duration dependence and dependence on previous rating. We find significant non-Markov effects, especially for the downgrade movements.
- DOI
- 10.1016/s0378-4266(01)00228-x
- Volume
- 26
- Issue
- 2-3
- Pages
- 423-444
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib