DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.
We introduce a specific duration model to analyze the prediction of the credit rating migration. We consider hazard rate processes based on multi‐state autoregressive conditional duration models. To take account of the economic context, we model the conditional mean of the duration between two ratin...
| Publicado en: | Economic Inquiry Vol. 56; no. 3; pp. 1870 - 1887 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Jul2018
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=129933579&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 129933579 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: Y pubinfo: dt: Jul2018 vid: 56 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 129933579 10.1111/ecin.12561 ppf: 1870 ppct: 17 formats: fmt: – @attributes: type: T – @attributes: type: P size: 1.1MB tig: atl: DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. aug: au: Ben Ayed, Myriam Karaa, Adel Prigent, Jean‐Luc affil: University Sorbonne Abu Dhabi, Economy, Abu Dhabi, United Arab Emirates University of Tunis, ISG Tunis, Quantitative Methods, Le Bardo, 2000, Tunisia THEMA and LabeX MME-DII, University of Cergy‐Pontoise, Cergy, 95011, France su: New Zealand. Financial Markets Authority Financial crises Economic impact of emigration & immigration Credit ratings Rating agencies (Finance) sug: subj: Financial crises Economic impact of emigration & immigration New Zealand. Financial Markets Authority Credit Bureaus Credit ratings Rating agencies (Finance) ab: We introduce a specific duration model to analyze the prediction of the credit rating migration. We consider hazard rate processes based on multi‐state autoregressive conditional duration models. To take account of the economic context, we model the conditional mean of the duration between two ratings by means of a latent process. To this purpose, a dynamic‐ordered probit model is developed to describe the directions taken by the ratings in the presence of multiple states. As an illustration, we study the migration of credit rating during periods before and after the financial crisis. (JEL C14, C41, G24) pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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