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| Author: | Lando, D. Sködeberg, T. M. |
| Title: | Analyzing rating transitions and rating drift with continuous observations |
| Journal: | Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 423-444 |
| Index terms: | Rating scales Markov chains Estimation |
| Language: | eng |
| Abstract: | The authors 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, the they illustrate the difference between estimators based on discrete-time cohort nethods and estimators based on continuous observations. The authors apply semi-parametric regression techniques to test for two types of non-Markov effects in rating transitions: Duration dependence and dependence on previous rating. They find significant non-Markov effects, especially for the downgrade movements. |
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