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| Author: | Hu, Y.-T. Kiesel, R. Perraudin, W. |
| Title: | The estimation of transition matrices for sovereign credit ratings |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1383-1406 |
| Index terms: | Credit rating Credit management Bayesian statistics Markov chains |
| Language: | eng |
| Abstract: | Rating transition matrices for sovereigns are an important input to risk management of portfolios of emerging market credit exposures. The paper shows how one may combine information from sovereign defaults observed over a longer period and a broader set of of countries to derive estimates of sovereign transition matrices. |
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